setIntegral: Integral of Stochastic Differential Equation

Description

'setIntegral' is the constructor of an object of class yuima.Integral

Usage

setIntegral(yuima, integrand, var.dx, lower.var, upper.var, out.var = "", nrow = 1, ncol = 1)

Arguments

yuima

an object of class yuima.model that is the SDE.

integrand

A matrix or a vector of strings that describe each component of the integrand.

var.dx

A label that indicates the variable of integration

lower.var

A label that indicates the lower variable in the support of integration, by default lower.var = 0.

upper.var

A label that indicates the upper variable in the support of integration, by default upper.var = t.

out.var

Label for the output

nrow

Dimension of output if integrand is a vector of string.

ncol

Dimension of output if integrand is a vector of string.

Value

yuima.Integral.

References

Yuima Documentation

Examples

Run this code

## Not run: 
# # Definition Model
# 
# Mod1<-setModel(drift=c("a1"), diffusion = matrix(c("s1"),1,1),
#   solve.variable = c("X"), time.variable = "s")
# 
# # In this example we define an integral of SDE such as
# # \[
# # I=\int^{t}_{0} b*exp(-a*(t-s))*(X_s-a1*s)dX_s
# # \]
# 
# integ <- matrix("b*exp(-a*(t-s))*(X-a1*s)",1,1)
# 
# Integral <- setIntegral(yuima = Mod1,integrand = integ,
#   var.dx = "X", lower.var = "0", upper.var = "t",
#   out.var = "", nrow =1 ,ncol=1)
# 
# # Structure of slots
# 
# is(Integral)
# # Function h in the above definition
# Integral@Integral@Integrand@IntegrandList
# # Dimension of Intgrand
# Integral@Integral@Integrand@dimIntegrand
# 
# # all parameters are $\left(b,a,a1,s1\right)$
# Integral@Integral@param.Integral@allparam
# 
# # the parameters in the integrand are $\left(b,a,a1\right)$ \newline
# Integral@Integral@param.Integral@Integrandparam
# 
# # common parameters are $a1$
# Integral@Integral@param.Integral@common
# 
# # integral variable dX_s
# Integral@Integral@variable.Integral@var.dx
# Integral@Integral@variable.Integral@var.time
# 
# # lower and upper vars
# Integral@Integral@variable.Integral@lower.var
# Integral@Integral@variable.Integral@upper.var
# 
# ## End(Not run)

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