Solving Stochastic Differential Equations (SDE) in R with diffeqr

Chris Rackauckas

2018-04-27

1D SDEs

Solving stochastic differential equations (SDEs) is the similar to ODEs. To solve an SDE, you use diffeqr::sde.solve and give two functions: f and g, where du = f(u,t)dt + g(u,t)dW_t

f <- function(u,p,t) {
  return(1.01*u)
}
g <- function(u,p,t) {
  return(0.87*u)
}
u0 = 1/2
tspan <- list(0.0,1.0)
sol = diffeqr::sde.solve(f,g,u0,tspan)
plotly::plot_ly(udf, x = sol$t, y = sol$u, type = 'scatter', mode = 'lines')