yuima.ae-class function

Class for the Asymptotic Expansion of Diffusion Processes

The yuima.ae class is used to describe the output of the functions ae and aeMarginal. Two generic methods are provided for the class: initialize,yuima.ae-method and plot,yuima.ae-method. class

Slots

• order: integer. The order of the expansion.
• var: character. The state variables.
• u.var: character. The variables of the characteristic function.
• eps.var: character. The perturbation variable.
• characteristic: expression. The characteristic function.
• density: expression. The probability density function.
• Z0: numeric. The solution to the deterministic process obtained by setting the perturbation to zero.
• Mu: numeric. The drift vector for the representation of Z1.
• Sigma: matrix. The diffusion matrix for the representation of Z1.
• c.gamma: list. The coefficients of the Hermite polynomials.
• h.gamma: list. Hermite polynomials.