Package | Description |
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dev.nm.stat.stochasticprocess.univariate.random | |
dev.nm.stat.stochasticprocess.univariate.sde.discrete |
Constructor and Description |
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RandomRealizationOfRandomProcess(DiscreteSDE sde,
TimeGrid timeGrid,
double x0)
Construct a random realization generator from a discrete SDE.
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RandomWalk(DiscreteSDE sde,
double dt,
double x0)
Constructs a univariate stochastic process from an SDE.
|
RandomWalk(DiscreteSDE sde,
TimeGrid timeGrid,
double x0)
Constructs a univariate stochastic process from an SDE.
|
Modifier and Type | Class and Description |
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class |
BMSDE
A Brownian motion is a stochastic process with the following properties.
|
class |
EulerSDE
The Euler scheme is the first order approximation of an SDE.
|
class |
MilsteinSDE
Milstein scheme is a first-order approximation to a continuous-time SDE.
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