Does cummax works in a sde solver?
I want to model a 2-dimension SDE where the drift and the diffusion are:
% solve the system
F = @(t, X) [mu*pi(y-(X(2)-z)+(X(1)-v)+max(y, cummax(X(2)-X(1)))-y, X(2))-c(y-(X(2)-z)+(X(1)-v)+max(y, cummax(X(2)-X(1)))-y, X(2)); muz*X(2)];
G = @(t, X) [sigma*pi(y-(X(2)-z)+(X(1)-v)+max(y, cummax(X(2)-X(1)))-y, X(2)) 0; 0 sigmaz*X(2)];
X = sde(F, G, "StartState", x);
[X, T] = simByEuler(X, n, ‘DeltaTime’, dt);
Here, pi is some function that I have defined before in the code. My question is: does here cummax works on all previous values of X(2)-X(1), or it takes it as a scalar at every iteration? In particular
max(y, cummax(X(2)-X(1)))
should represent the process .
Thank you so much for your attention, I hope I made myself clear.I want to model a 2-dimension SDE where the drift and the diffusion are:
% solve the system
F = @(t, X) [mu*pi(y-(X(2)-z)+(X(1)-v)+max(y, cummax(X(2)-X(1)))-y, X(2))-c(y-(X(2)-z)+(X(1)-v)+max(y, cummax(X(2)-X(1)))-y, X(2)); muz*X(2)];
G = @(t, X) [sigma*pi(y-(X(2)-z)+(X(1)-v)+max(y, cummax(X(2)-X(1)))-y, X(2)) 0; 0 sigmaz*X(2)];
X = sde(F, G, "StartState", x);
[X, T] = simByEuler(X, n, ‘DeltaTime’, dt);
Here, pi is some function that I have defined before in the code. My question is: does here cummax works on all previous values of X(2)-X(1), or it takes it as a scalar at every iteration? In particular
max(y, cummax(X(2)-X(1)))
should represent the process .
Thank you so much for your attention, I hope I made myself clear. I want to model a 2-dimension SDE where the drift and the diffusion are:
% solve the system
F = @(t, X) [mu*pi(y-(X(2)-z)+(X(1)-v)+max(y, cummax(X(2)-X(1)))-y, X(2))-c(y-(X(2)-z)+(X(1)-v)+max(y, cummax(X(2)-X(1)))-y, X(2)); muz*X(2)];
G = @(t, X) [sigma*pi(y-(X(2)-z)+(X(1)-v)+max(y, cummax(X(2)-X(1)))-y, X(2)) 0; 0 sigmaz*X(2)];
X = sde(F, G, "StartState", x);
[X, T] = simByEuler(X, n, ‘DeltaTime’, dt);
Here, pi is some function that I have defined before in the code. My question is: does here cummax works on all previous values of X(2)-X(1), or it takes it as a scalar at every iteration? In particular
max(y, cummax(X(2)-X(1)))
should represent the process .
Thank you so much for your attention, I hope I made myself clear. sde, simbyeuler, cummax, drift, diffusion MATLAB Answers — New Questions