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