public class MultivariateEulerSDE extends Object implements MultivariateDiscreteSDE
| Constructor and Description |
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MultivariateEulerSDE(MultivariateSDE sde)
Discretize a multivariate, continuous-time SDE using the Euler scheme.
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| Modifier and Type | Method and Description |
|---|---|
Vector |
dXt(MultivariateFt ft)
This is the SDE specification of a stochastic process.
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MultivariateFt |
getNewFt()
Get an empty filtration of the process.
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int |
nB()
Get the number of independent driving Brownian motions.
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public MultivariateEulerSDE(MultivariateSDE sde)
sde - a continuous-time SDEpublic Vector dXt(MultivariateFt ft)
dXt in interface MultivariateDiscreteSDEft - a filtrationdtpublic int nB()
MultivariateDiscreteSDEnB in interface MultivariateDiscreteSDEpublic MultivariateFt getNewFt()
MultivariateDiscreteSDEgetNewFt in interface MultivariateDiscreteSDECopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.