public class EulerSDE extends Object implements DiscreteSDE
Constructor and Description |
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EulerSDE(SDE sde)
Discretize a continuous-time SDE using the Euler scheme.
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Modifier and Type | Method and Description |
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double |
dXt(Ft ft)
This is the SDE specification of a stochastic process.
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Ft |
getNewFt()
Get an empty filtration of the process.
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public EulerSDE(SDE sde)
sde
- a continuous-time SDEpublic double dXt(Ft ft)
dXt
in interface DiscreteSDE
ft
- a filtrationdt
public Ft getNewFt()
DiscreteSDE
getNewFt
in interface DiscreteSDE
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