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simulate jump process #2
Hi, I am trying to simulate a jump process J_t in {0,1}, P[delta J_t=-1 | J_t-=1]=d(t), P[delta J_t=1 | J_t-=0]=u(t), the intensity of jumps:lambda(t)dt, the law of the jumps:K(t,dy)=P[delta J_t in dy|J_t-].
Does anyone know of any books I can read that will give me an step by step explanation of how to do this? or perhaps does anyone have any existing Matlab code which they would be willing to share?
Any help would be greatly appreciated.
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 wei
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8/11/2010 8:40:22 PM |
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