Drift


Function Drift within
Stoch Processreturns the drift part of the SDE at a given observation time t1 when the observed value of the state variable is x1.
More specifically, if we write the SDE as dx = μ(x,t)dt + σ(x,t)dw, the drift part is the function μ(x,t) and this function returns the array of numbers μ(x1,t1)
Note that the dimensionality of the array μ(x1,t1) is the same with the dimensionality of the state variable x.