sde (version 2.0.9)

DBridge: Simulation of diffusion bridge

Description

Simulation of diffusion bridge.

Usage

DBridge(x=0, y=0, t0=0, T=1, delta, drift, sigma, ...)

Arguments

x

initial value of the process at time t0.

y

terminal value of the process at time T.

t0

initial time.

delta

time step of the simulation.

drift

drift coefficient: an expression of two variables t and x.

sigma

diffusion coefficient: an expression of two variables t and x.

T

final time.

...

passed to the sde.sim function.

Value

• X
  an invisible ts object

Details

The function returns a trajectory of the diffusion bridge starting at x at time t0 and ending at y at time T.

The function uses the sde.sim function to simulate the paths internally. Refer to the sde.sim documentation for further information about the argument ``...''

References

Bladt, M., Soerensen, M. (2007) Simple simulation of diffusion bridges with application to likelihood inference for diffusions, mimeo.

See Also

sde.sim, BBridge

Examples

d <- expression((3-x))
s <- expression(1.2*sqrt(x))
par(mar=c(3,3,1,1))
par(mfrow=c(2,1)) 
set.seed(123)
X <- DBridge(x=1.7,y=0.5, delta=0.01, drift=d, sigma=s)
plot(X)
X <- DBridge(x=1,y=5, delta=0.01, drift=d, sigma=s)
plot(X)