Generation of a random trajectory of an OU process starting from a given initial state (only for test purpose)

Source: R/paramsPOUMM.R

Generation of a random trajectory of an OU process starting from a given initial state (only for test purpose)

rTrajectoryOUDef(z0, t, alpha, theta, sigma, steps = 1)

Arguments

z0

Numeric value, initial state.
t

Numeric value or vector of size steps, denoting the time-step(s).
alpha

Numeric values, parameters of the OU process.
theta

Numeric values, parameters of the OU process.
sigma

Numeric values, parameters of the OU process.
steps

Integer, number of steps.

Details

Used for test purpose only. This is an internal function and is appropriate for small time-steps only.