Find the second derivative of an integral function
1 回表示 (過去 30 日間)
古いコメントを表示
Can anyone please help me with this problem. I have an integral function that I would like to differentiate it twice to find if it is convex or not. I'm not really sure how to do it in MATLAB. First, I have to find the second derivative by MATLAB to compare to my analytical answer. Here is the function. integral of f with respect to t from t0 to ts. f and the rest as below:
if true
% code
syms price lamda t r t0 ts
fun = price .* exp(-lamda .* t) .* r;
x = int(fun,t,[t0 ts])
Y = diff(X)
end
I do not need to integrate f, I just need to find its second derivative and this function happens to be an integral.
8 件のコメント
Bruno Luong
2018 年 10 月 12 日
編集済み: Bruno Luong
2018 年 10 月 12 日
Yes it does.
* dfun/dr = integral in [t0 ts] of price*exp(-lamda*t) dt;
* d^2fun/dr^2 = 0
You can pull out r out of the integral if it helps you to understand, since it does not depends on the integration variable t.
回答 (0 件)
参考
カテゴリ
Help Center および File Exchange で Financial Data についてさらに検索
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!