public class IntegralExpectation extends Object
Constructor and Description |
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IntegralExpectation(Integral I,
double t0,
double t1,
int n,
int nSim)
Compute the expectation for the integral of a stochastic process.
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IntegralExpectation(Integral I,
double t0,
double t1,
int n,
int nSim,
long seed)
Compute the expectation for the integral of a stochastic process.
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Modifier and Type | Method and Description |
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double |
mean()
Compute the mean of the integral.
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double |
variance()
Compute the variance of the integral.
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public IntegralExpectation(Integral I, double t0, double t1, int n, int nSim, long seed)
I
- the integral of a stochastic processt0
- the beginning time of the integral time intervalt1
- the ending time of the integral time intervaln
- the number of discretization in the integral time intervalnSim
- the number of simulationsseed
- a seedpublic IntegralExpectation(Integral I, double t0, double t1, int n, int nSim)
I
- the integral of a stochastic processt0
- the beginning time of the integral time intervalt1
- the ending time of the integral time intervaln
- the number of discretization in the integral time intervalnSim
- the number of simulationsCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.