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Questions tagged [sde]

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Solving SDEs in R until a prespecified value is reached

I am trying to solve a system of SDEs in R using the Diffeqr package. A simplified version of the system: ...
4
votes
0answers
58 views

Probability approximation: monte carlo VS sde

I have a probability measure $\mu$ (say, in $\mathbb{R}^{d}$, with density) and I want to approximate it numerically. Today I noticed that my measure is ergotic for a certain Stochastic Differential ...
3
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1answer
101 views

Solving an SDE with time-dependent parameter in R

I am trying to solve a system of SDEs in R using the Diffeqr package. Let's reduce the system to a simple ODE: ...