| Package | Description |
|---|---|
| dev.nm.stat.stochasticprocess.multivariate.sde | |
| dev.nm.stat.stochasticprocess.multivariate.sde.coefficients |
| Modifier and Type | Method and Description |
|---|---|
DiffusionMatrix |
MultivariateSDE.sigma()
Get the diffusion matrix: \(\sigma(t, X_t, Z_t, ...)\).
|
| Constructor and Description |
|---|
MultivariateSDE(DriftVector mu,
DiffusionMatrix sigma,
int nB)
Construct a multi-dimensional diffusion type stochastic differential equation.
|
| Modifier and Type | Class and Description |
|---|---|
class |
ConstantSigma1
The class represents a constant diffusion coefficient function.
|
class |
ConstantSigma2
Deprecated.
This implementation is slow. Use
ConstantSigma1 instead. |
class |
DiffusionSigma
This class implements the diffusion term in the form of a diffusion matrix.
|
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