Usage
bridgesde2d(N, ...)
## S3 method for class 'default':
bridgesde2d(N = 1000, M = 1, x0 = c(0, 0), y = c(1, 1), t0 = 0, T = 1, Dt,
driftx, diffx, drifty, diffy, alpha = 0.5, mu = 0.5, type = c("ito", "str"),
method = c("euler", "milstein", "predcorr", "smilstein", "taylor",
"heun", "rk1", "rk2", "rk3"), ...)
## S3 method for class 'bridgesde2d':
time(x, \dots)
## S3 method for class 'bridgesde2d':
mean(x, \dots)
## S3 method for class 'bridgesde2d':
median(x, \dots)
## S3 method for class 'bridgesde2d':
quantile(x, \dots)
## S3 method for class 'bridgesde2d':
kurtosis(x, \dots)
## S3 method for class 'bridgesde2d':
skewness(x, \dots)
## S3 method for class 'bridgesde2d':
moment(x, order = 2, \dots)
## S3 method for class 'bridgesde2d':
bconfint(x, level=0.95, \dots)
## S3 method for class 'bridgesde2d':
plot(x, \dots)
## S3 method for class 'bridgesde2d':
lines(x, \dots)
## S3 method for class 'bridgesde2d':
points(x, \dots)
## S3 method for class 'bridgesde2d':
plot2d(x, \dots)
## S3 method for class 'bridgesde2d':
lines2d(x, \dots)
## S3 method for class 'bridgesde2d':
points2d(x, \dots)Arguments
N
number of simulation steps.
x0
initial value (numeric vector of length 2) of the process $X_t$ and $Y_t$ at time $t_0$.
y
terminal value (numeric vector of length 2) of the process $X_t$ and $Y_t$ at time $T$.
Dt
time step of the simulation (discretization). If it is missing a default $\Delta t = \frac{T-t_{0}}{N}$. driftx, drifty
drift coefficient: an expression of three variables t, x and y for process $X_t$ and $Y_t$. diffx, diffy
diffusion coefficient: an expression of three variables t, x and y for process $X_t$ and $Y_t$. alpha, mu
weight of the predictor-corrector scheme; the default alpha = 0.5 and mu = 0.5.
type
if type="ito" simulation diffusion bridge of Ito type, else type="str" simulation diffusion bridge of Stratonovich type; the default type="ito".
method
numerical methods of simulation, the default method = "euler"; see snssde2d. x
an object inheriting from class "bridgesde2d".
level
the confidence level required.
...
further arguments for (non-default) methods.