Class and Description |
---|
MultivariateSDE
This class represents a multi-dimensional, continuous-time Stochastic Differential Equation (SDE) of this form:
\[
dX_t = \mu(t,X_t,Z_t,...)*dt + \sigma(t, X_t, Z_t, ...)*dB_t
\]
|
Class and Description |
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MultivariateFt
This represents the concept 'Filtration', the information available at time t.
|
MultivariateFtWt
This is a filtration implementation that includes the path-dependent information,
Wt.
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Class and Description |
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FtAdaptedRealFunction
This represents an Ft-adapted function that depends on X(t), B(t), or even on the whole past path of B(s), s ≤ t.
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FtAdaptedVectorFunction
This represents a vector-valued Ft-adapted function that depends on X(t), B(t), or even on the whole past path of B(s), s ≤ t.
|
MultivariateFt
This represents the concept 'Filtration', the information available at time t.
|
Class and Description |
---|
MultivariateFt
This represents the concept 'Filtration', the information available at time t.
|
MultivariateSDE
This class represents a multi-dimensional, continuous-time Stochastic Differential Equation (SDE) of this form:
\[
dX_t = \mu(t,X_t,Z_t,...)*dt + \sigma(t, X_t, Z_t, ...)*dB_t
\]
|
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