public class ExpectationAtEndTime extends Object
| Constructor and Description |
|---|
ExpectationAtEndTime(RandomProcess process,
int size,
int nSims)
Compute the expectation of a random process at the end time.
|
ExpectationAtEndTime(RandomRealizationGenerator rrg,
int nSims)
Compute the expectation of a random process at the end time.
|
ExpectationAtEndTime(SDE sde,
double T0,
double T,
int nT,
double x0,
int nSims)
Compute the expectation of a stochastic SDE at the end time.
|
| Modifier and Type | Method and Description |
|---|---|
double |
value()
Get the expectation (the mean).
|
double |
variance()
Get the variance.
|
public ExpectationAtEndTime(RandomRealizationGenerator rrg, int nSims)
rrg - a generator of realizations of the random processnSims - the number of simulationspublic ExpectationAtEndTime(RandomProcess process, int size, int nSims)
process - a random processsize - the size of the realizationsnSims - the number of simulationspublic ExpectationAtEndTime(SDE sde, double T0, double T, int nT, double x0, int nSims)
sde - the integrand SDET0 - the begin of the time intervalT - the end of the time intervalnT - the number of sub-intervals in [T0, T]x0 - the initial valuenSims - the number of simulationsCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.