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.
|
Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.