There do exist packages for multi-variate integration in R, but sticking to
base functions, what you've described should work but the inner integral will
need to be vectorized before it's passes to the outer integral: Vectorize() can
do this directly, but it won't be particularly fast since it's
Hi,
I have a function that I need to do double integration:
\int^T_0 \int^t_0 N(\delta / \sigma \sqrt(u)) (1-N(\delta / \sigma
\sqrt(u))) du dt
where N(x) is a standard normal probability of x.
I start off by writing an inner integral into a function. Meaning
\int^t_0 N(\delta,\sigma \sqrt(u))
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