# SDE boundary condition

I have a simple SDE with white noise:

mysde[q_, I_, n0_, sd_] :=
ItoProcess[
\[DifferentialD]n[t] ==
( I - q n[t]) \[DifferentialD]t + sd \[DifferentialD]w[t], n[t],
{n, n0}, t, w \[Distributed] WienerProcess[]]


I want to impose a condition that n[t] cannot fall below zero. At below zero, or an arbitrarily low value of n[t], it is considered zero. I am not sure how to implement this in the ItoProcess function and/or in the numerical solution:

sol[q_, I_, n0_, sd_] := RandomFunction[mysde[q, I, n0, sd], {0, 100, 0.1}, 1]


The variable drops below zero many times, which is not a desired behaviour:

With[{q = 2, I = 0.1, n0 = 1, sd = 0.1},
Show[ListLinePlot[sol[q, I, n0, sd]], ImageSize -> 400]]


What are some ways to implement such a condition?

I have tried various functions on n[t] within the ItoProcess[], to attempt to re-set negative values of n[t] to zero, like If[], Max[], Clip[], and Piecewise[] to no avail. Any reasons why these functions do not dynamically work within the solver?

Also is there a way to extract the values of the noise, w[t], in a particular simulated path of the temporal data timeseries object?

One potential solution, which is not confirmed to be correct, is to write the equation for the log of my variable, ln[t] and to use the Geometric Brownian motion random process formulation, obtaining:

logsde[q_, I_, ln0_, sd_] :=
ItoProcess[
\[DifferentialD]ln[t] ==
( I - q ln[t] - sd^2/2) \[DifferentialD]t + sd \[DifferentialD]w[t], ln[t],
{ln, ln0}, t, w \[Distributed] GeometricBrownianMotionProcess[I - q ln[t], sd, n0]]

logsol[q_, I_, ln0_, sd_] := RandomFunction[logsde[q, I, ln0, sd], {0, 100, 0.1}, 1]


Then I extract the simulated values, and exponentiate them to obtain the time series or path in the original scale:

td = With[{q = 0.1, I1 = 0.1, ln0 = 1, sd = .1},
logsol[q, I1, ln0, sd]];
ListLinePlot[Exp[td["States"]]]


However I have lost the stochastic signal in this model; the simulation smooths out and looks continuous with no noise, except at the beginning of the simulation. This is obviously an incorrect formulation. What did I do here? How might I formulate this properly?

Are there other approaches?

So overall I have three questions:

1. How to implement a boundary condition in ItoProcess[] for one of the state variables?
2. How to recover the simulated values of the random variable?
3. How to properly specify a log-transformed version of the ItoProcess[]?
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What is the mathematical model of "not below zero"? Say, should it bounce or once zero is always zero? Or It just needed to draw a plot, where the negative part is turned to aero? –  Andrew Jun 27 '13 at 7:38
I disagree with your statement that "is not supposed to happen in this model"; the solution to your top SDE is a normally distributed random variable with parameters you can get with Mean[mysde[q, ii, n0, sd][t]] and StandardDeviation[mysde[q, ii, n0, sd][t]] so yes, it can go negative. –  b.gatessucks Jun 27 '13 at 8:21
b.gatessucks you are right, the model as specified, it does happen. However, I want to impose the condition that the variable n[t] cannot go below zero (or an arbitrarily small value). The question is how to modify the equation or include a condition in the model that would prevent negative values from occuring. –  ambein Jun 27 '13 at 14:34
To answer Andrew's question, the variable should be able to recover from zero. –  ambein Jun 27 '13 at 14:38
Would taking the absolute value of $n$ do? –  Andrew Jun 27 '13 at 14:48
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