public class SDE extends Object
Constructor and Description |
---|
SDE(Drift drift,
Diffusion diffusion)
Construct a univariate diffusion type stochastic differential equation.
|
Modifier and Type | Method and Description |
---|---|
Diffusion |
diffusion()
Get the diffusion coefficient: \(\sigma(t, X_t, Z_t, ...)\).
|
Drift |
drift()
Get the drift: \(\mu(t,X_t,Z_t,...)\).
|
Ft |
getFt()
Get an empty filtration of the process.
|
public Ft getFt()
public Drift drift()
public Diffusion diffusion()
Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.