Solving stochastic differential equations (SDEs) is the similar to
ODEs. To solve an SDE, you use diffeqr::sde.solve and give
two functions: f and g, where
du = f(u,t)dt + g(u,t)dW_t
de <- diffeqr::diffeq_setup()
f <- function(u,p,t) {
return(1.01*u)
}
g <- function(u,p,t) {
return(0.87*u)
}
u0 <- 1/2
tspan <- list(0.0,1.0)
prob <- de$SDEProblem(f,g,u0,tspan)
sol <- de$solve(prob)
udf <- as.data.frame(t(sapply(sol$u,identity)))
plotly::plot_ly(udf, x = sol$t, y = sol$u, type = 'scatter', mode = 'lines')