Package | Description |
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dev.nm.stat.stochasticprocess.multivariate.random | |
dev.nm.stat.stochasticprocess.timegrid | |
dev.nm.stat.stochasticprocess.univariate.random |
Constructor and Description |
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MultivariateBrownianRRG(int d,
TimeGrid timePoints)
Construct a random realization generator to produce multi-dimensional Brownian paths at time points specified.
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MultivariateBrownianRRG(int d,
TimeGrid timePoints,
Vector initial)
Construct a random realization generator to produce multi-dimensional Brownian paths at time points specified.
|
MultivariateRandomProcess(int nB,
TimeGrid timeGrid)
Construct a multivariate random process.
|
MultivariateRandomRealizationOfRandomProcess(MultivariateDiscreteSDE sde,
TimeGrid timeGrid,
Vector x0)
Construct a random realization generator from a multivariate discrete SDE.
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MultivariateRandomRealizationOfRandomProcess(MultivariateSDE sde,
TimeGrid timeGrid,
Vector x0)
Construct a random realization generator from a multivariate SDE.
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MultivariateRandomWalk(MultivariateDiscreteSDE sde,
TimeGrid timeGrid,
Vector x0)
Construct a multivariate stochastic process from an SDE.
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Modifier and Type | Class and Description |
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class |
EvenlySpacedGrid
This is an evenly spaced time grid.
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class |
UnitGrid
This is the sequence of time points [0, 1, ..., T].
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Constructor and Description |
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RandomProcess(TimeGrid timeGrid)
Construct a univariate random process.
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RandomRealizationOfRandomProcess(DiscreteSDE sde,
TimeGrid timeGrid,
double x0)
Construct a random realization generator from a discrete SDE.
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RandomRealizationOfRandomProcess(SDE sde,
TimeGrid timeGrid,
double x0)
Construct a random realization generator from an SDE.
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RandomWalk(DiscreteSDE sde,
TimeGrid timeGrid,
double x0)
Constructs a univariate stochastic process from an SDE.
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