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.
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 “...”
Value
X
an invisible ts object
Author(s)
Stefano Maria Iacus
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)