public class MilsteinSDE extends Object implements DiscreteSDE
Constructor and Description |
---|
MilsteinSDE(SDE sde)
Discretize a continuous-time SDE using the Milstein scheme.
|
Modifier and Type | Method and Description |
---|---|
double |
db(Ft ft)
\[
\frac{d\sigma}{dt}
\]
|
double |
dXt(Ft ft)
This is the SDE specification of a stochastic process.
|
Ft |
getNewFt()
Get an empty filtration of the process.
|
public MilsteinSDE(SDE sde)
sde
- a continuous-time SDEpublic double dXt(Ft ft)
dXt
in interface DiscreteSDE
ft
- a filtrationdt
public Ft getNewFt()
DiscreteSDE
getNewFt
in interface DiscreteSDE
public double db(Ft ft)
ft
- a filtrationCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.