1## Copyright (C) 2016 Parsiad Azimzadeh <parsiad.azimzadeh@gmail.com> 2## 3## This program is free software; you can redistribute it and/or modify it under 4## the terms of the GNU Lesser General Public License as published by the Free 5## Software Foundation; either version 3 of the License, or (at your option) any 6## later version. 7## 8## This program is distributed in the hope that it will be useful, but WITHOUT 9## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or 10## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License 11## for more details. 12## 13## You should have received a copy of the GNU Lesser General Public License 14## along with this program; if not, see <http://www.gnu.org/licenses/>. 15 16## -*- texinfo -*- 17## @deftypefn {Function File} {@var{SDE} =} sdeld (@var{A}, @var{B}, @var{Alpha}, @var{Sigma}) 18## @deftypefnx {Function File} {@var{SDE} =} sdeld (@var{A}, @var{B}, @var{Alpha}, @var{Sigma}, @var{OptionName}, @var{OptionValue}, @dots{}) 19## Creates an object to represent a stochastic differential equation (SDE) in 20## linear drift-rate form. 21## 22## @center dX_t = (@var{A}(t) + @var{B}(t) * X_t)dt + (diag(X_t.^@var{Alpha}(t)) * @var{Sigma}(t))dW_t 23## 24## @itemize 25## @item (X_t) is an NVARS-dimensional process; 26## @item (W_t) is an NBROWNS-dimensional Wiener process. 27## @end itemize 28## 29## The parameters @var{A} and @var{B} appear in the @@sde/drift documentation. 30## 31## The parameters @var{Alpha} and @var{Sigma} appear in the @@sde/diffusion 32## documentation. 33## 34## See the @@sde documentation for a list of optional arguments. 35## 36## @seealso{drift, diffusion, sde} 37## @end deftypefn 38 39function SDE = sdeld (A, B, Alpha, Sigma, varargin) 40 41 if (nargin < 4) 42 print_usage (); 43 endif 44 45 Drift = drift (A, B); 46 Diffusion = diffusion (Alpha, Sigma); 47 SDE = sde (Drift, Diffusion, varargin{:}); 48 49endfunction 50