public class ExpectationAtEndTime extends Object
Constructor and Description |
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ExpectationAtEndTime(RandomProcess process,
int size,
int nSims)
Compute the expectation of a random process at the end time.
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ExpectationAtEndTime(RandomRealizationGenerator rrg,
int nSims)
Compute the expectation of a random process at the end time.
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ExpectationAtEndTime(SDE sde,
double T0,
double T,
int nT,
double x0,
int nSims)
Compute the expectation of a stochastic SDE at the end time.
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Modifier and Type | Method and Description |
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double |
value()
Get the expectation (the mean).
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double |
variance()
Get the variance.
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public ExpectationAtEndTime(RandomRealizationGenerator rrg, int nSims)
rrg
- a generator of realizations of the random processnSims
- the number of simulationspublic ExpectationAtEndTime(RandomProcess process, int size, int nSims)
process
- a random processsize
- the size of the realizationsnSims
- the number of simulationspublic ExpectationAtEndTime(SDE sde, double T0, double T, int nT, double x0, int nSims)
sde
- the integrand SDET0
- the begin of the time intervalT
- the end of the time intervalnT
- the number of sub-intervals in [T0, T]x0
- the initial valuenSims
- the number of simulationsCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.