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Specifying drift and diffusion functions in SDE(financial toolbox)

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kangkan Devchoudhury
kangkan Devchoudhury on 13 Oct 2019
Edited: kangkan Devchoudhury on 13 Oct 2019
Hello I am trying to simulate the following base SDE model using the financial toolbox
where are independent weiner processes
I wrote the drift and diffusion functions in two separate matlab functions in two separate files
function F=drf(t,X)
f1=0.1*X(1);
f2=0.1*X(2)
F=transpose([f1 f2])
end
function G=diffu(t,X)
G=[0.1 0;0 0.1]
end
But when i tried to create the sde object, by calling obj=SDE(drf,diffu) i got the following error
''Drift rate must be a 'Drift' function or a function''. I am using Matlab 2018. As far as i can see, the functions are of the correct dimensionality. What is wrong?

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