src/DiffEq/Beta/Beta.hpp file

System of beta SDEs.

This file implements the time integration of a system of stochastic differential equations (SDEs) with linear drift and quadratic diagonal diffusion, whose invariant is the joint beta distribution.

In a nutshell, the equation integrated governs a set of scalars, , , as

with parameter vectors , , and . Here is an isotropic vector-valued Wiener process with independent increments. The invariant distribution is the joint beta distribution. This system of SDEs consists of N independent equations. For more on the beta SDE, see https://doi.org/10.1080/14685248.2010.510843.

Namespaces

namespace walker

Walker declarations and definitions.

Classes

template<class Init, class Coefficients>

class walker::Beta

Beta SDE used polymorphically with DiffEq.