Does cummax works in a sde solver?
42 visualizaciones (últimos 30 días)
Mostrar comentarios más antiguos
Salvatore Bianco
el 23 de Jun. de 2024 a las 17:14
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
.
![](https://www.mathworks.com/matlabcentral/answers/uploaded_files/1720801/image.png)
Thank you so much for your attention, I hope I made myself clear.
0 comentarios
Respuestas (1)
Torsten
el 23 de Jun. de 2024 a las 18:04
Editada: Torsten
el 23 de Jun. de 2024 a las 18:31
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?
It takes it as a scalar in each iteration because X(2)-X(1) is a scalar.
I'm not an expert in SDEs, but it seems that your equation does not belong to the class that can be solved using "sde".
2 comentarios
Torsten
el 24 de Jun. de 2024 a las 8:53
Editada: Torsten
el 24 de Jun. de 2024 a las 8:55
I think even if there were a way to keep track of them, your equation cannot be solved with "sde" because F and G in the underlying equation can only depend on X_t, not on X_s for s < t.
But as said: I'm not an expert in this field - I might be mistaken. (And I also don't know how to keep track of them.)
Ver también
Categorías
Más información sobre Stochastic Differential Equation (SDE) Models en Help Center y File Exchange.
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!