public class MilsteinSDE extends Object implements DiscreteSDE
| Constructor and Description |
|---|
MilsteinSDE(SDE sde)
Discretize a continuous-time SDE using the Milstein scheme.
|
| Modifier and Type | Method and Description |
|---|---|
double |
db(Ft ft)
\[
\frac{d\sigma}{dt}
\]
|
double |
dXt(Ft ft)
This is the SDE specification of a stochastic process.
|
Ft |
getNewFt()
Get an empty filtration of the process.
|
public MilsteinSDE(SDE sde)
sde - a continuous-time SDEpublic double dXt(Ft ft)
dXt in interface DiscreteSDEft - a filtrationdtpublic Ft getNewFt()
DiscreteSDEgetNewFt in interface DiscreteSDEpublic double db(Ft ft)
ft - a filtrationCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.