Linear Drift Models

Overview

The sdeld class derives from the sdeddo class. The sdeld objects allow you to simulate correlated paths of NVARS state variables expressed in linear drift-rate form:

$$d{X}_t=(A(t)+B(t)X_t)dt+D(t,X_t^{\alpha (t)})V(t)d{W}_t$$

sdeld objects provide a parametric alternative to the mean-reverting drift form, as discussed in Example: SDEMRD Models. They also provide an alternative interface to the sdeddo parent class, because you can create an object without first having to create its drift and diffusion-rate components.

Example: SDELD Models

Create the same model as in Example: Base SDE Models using sdeld:

obj = sdeld(0, 0.1, 1, 0.3) % (A, B, Alpha, Sigma)

obj = 
   Class SDELD: SDE with Linear Drift
   ----------------------------------------
     Dimensions: State = 1, Brownian = 1
   ----------------------------------------
      StartTime: 0
     StartState: 1
    Correlation: 1
          Drift: drift rate function F(t,X(t)) 
      Diffusion: diffusion rate function G(t,X(t)) 
     Simulation: simulation method/function simByEuler
              A: 0
              B: 0.1
          Alpha: 1
          Sigma: 0.3