/usr/share/octave/packages/financial-0.5.0/sdeddo.m is in octave-financial 0.5.0-1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 | ## Copyright (C) 2016 Parsiad Azimzadeh <parsiad.azimzadeh@gmail.com>
##
## This program is free software; you can redistribute it and/or modify it under
## the terms of the GNU Lesser General Public License as published by the Free
## Software Foundation; either version 3 of the License, or (at your option) any
## later version.
##
## This program is distributed in the hope that it will be useful, but WITHOUT
## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License
## for more details.
##
## You should have received a copy of the GNU Lesser General Public License
## along with this program; if not, see <http://www.gnu.org/licenses/>.
## -*- texinfo -*-
## @deftypefn {Function File} {@var{SDE} =} sdeddo (@var{DriftRate}, @var{DiffusionRate})
## @deftypefnx {Function File} {@var{SDE} =} sdeddo (@var{DriftRate}, @var{DiffusionRate}, @var{OptionName}, @var{OptionValue}, @dots{})
## Creates an object to represent a stochastic differential equation (SDE) using
## drift and diffusion objects:
##
## @center dX_t = @var{DriftRate}(t, X_t)dt + @var{DiffusionRate}(t, X_t)dW_t.
##
## @itemize @bullet
## @item (X_t) is an NVARS-dimensional process;
## @item (W_t) is an NBROWNS-dimensional Wiener process.
## @end itemize
##
## @itemize @minus{}@minus{}
## @item
## Variable: @var{DriftRate} A drift object.
## @item
## Variable: @var{DiffusionRate} A diffusion object.
## @end itemize
##
## See the @@sde documentation for a list of optional arguments.
##
## @seealso{drift, diffusion, sde}
## @end deftypefn
function SDE = sdeddo (DriftRate, DiffusionRate, varargin)
if (nargin < 2)
print_usage ();
endif
if (! isa (DriftRate, "drift"))
error ("sdeddo: DRIFTRATE must be a drift object");
endif
if (! isa (DiffusionRate, "diffusion"))
error ("sdeddo: DIFFUSIONRATE must be a diffusion object");
endif
SDE = sde (DriftRate, DiffusionRate, varargin{:});
endfunction
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