logical; if TRUE, probabilities p are given as log(p).
d
drift coefficient as a function; see details.
dx
partial derivative w.r.t. x of the
drift coefficient; see details.
dxx
second partial derivative w.r.t. x^2 of the
drift coefficient; see details.
dt
partial derivative w.r.t. t of the
drift coefficient; see details.
s
diffusion coefficient as a function; see details.
Details
This function returns the value of the conditional density of
X(t) | X(t0) = x0 at point x.
All the functions d, dx, dxx, dt, and s
must be functions of t, x, and theta.
Value
x
a numeric vector
Author(s)
Stefano Maria Iacus
References
Shoji, L., Ozaki, T. (1998) Estimation for nonlinear stochastic differential
equations by a local linearization method,
Stochastic Analysis and Applications, 16, 733-752.