public class BMSDE extends Object implements DiscreteSDE
Constructor and Description |
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BMSDE()
Construct a univariate standard Brownian motion.
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BMSDE(double mu,
double sigma)
Construct a univariate Brownian motion.
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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 BMSDE(double mu, double sigma)
mu
- μ, the driftsigma
- σ, the diffusion constantpublic BMSDE()
public double dXt(Ft ft)
DiscreteSDE
dXt
in interface DiscreteSDE
ft
- filtrationpublic Ft getNewFt()
DiscreteSDE
getNewFt
in interface DiscreteSDE
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