Pelsser.SquaredGaussianModel.ab C# (CSharp) Method

ab() public method

This function defines the drift and the volatility in the Pelsser Markov process. The formula to calculate the A component is A = - alpha * previous State. B = sigma.
public ab ( int i, double x, double a, double b ) : void
i int The parameter is not used.
x double The state vector at the previous state.
a double The output drift.
b double
return void
        public unsafe void ab(int i, double* x, double* a, double* b)
        {
            a[0] = -this.alpha1Temp * x[0] + this.lamda0.fV() * this.sigma1Temp;
            b[0] = this.sigma1Temp;
        }