new way to compute exponential F=expm(Adt)

mu2013 · Mar 8, 2020 · 059830a · 059830a
1 parent e01cf5a
commit 059830a
Showing 1 changed file with 10 additions and 1 deletion.
diff --git a/SolveSdeBM.r b/SolveSdeBM.r
@@ -1,7 +1,16 @@
 
 solvesdeBM<-function(A,dt,alpha,beta,rho,sigma)
 {
-      F = as.matrix( expm(A*dt) )
+      #F = as.matrix( expm(A*dt) )
+      #F = as.matrix( expm::expm(A*dt) )
+
+      fe <- exp((-alpha)*dt)
+
+      F = diag(nai+2)
+      F = F*fe 
+      F[3:(nai+2), 2] = 1 - fe
+      F[1,1]=1
+      F[2,2]=1
 
 ###  Var  = delta - e^At*delta*e^A't     Q variance   or  \Xi in paper
      # csigma=Pinf-F%*%Pinf%*%t(F)