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 |
|---|---|
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 DiscreteSDEft - a filtrationdtpublic Ft getNewFt()
DiscreteSDEgetNewFt in interface DiscreteSDECopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.