Package | Description |
---|---|
dev.nm.stat.stochasticprocess.univariate.sde | |
dev.nm.stat.stochasticprocess.univariate.sde.discrete |
Modifier and Type | Class and Description |
---|---|
class |
FtWt
This is a filtration implementation that includes the path-dependent information,
Wt.
|
Modifier and Type | Method and Description |
---|---|
Ft |
Ft.deepCopy() |
Ft |
SDE.getFt()
Get an empty filtration of the process.
|
Modifier and Type | Method and Description |
---|---|
double |
FtAdaptedFunction.evaluate(Ft ft)
Evaluate this function, f, at time t.
|
double |
XtAdaptedFunction.evaluate(Ft ft) |
Constructor and Description |
---|
Ft(Ft that)
Copy constructor.
|
Modifier and Type | Method and Description |
---|---|
Ft |
MilsteinSDE.getNewFt() |
Ft |
EulerSDE.getNewFt() |
Ft |
BMSDE.getNewFt() |
Ft |
DiscreteSDE.getNewFt()
Get an empty filtration of the process.
|
Modifier and Type | Method and Description |
---|---|
double |
MilsteinSDE.db(Ft ft)
\[
\frac{d\sigma}{dt}
\]
|
double |
MilsteinSDE.dXt(Ft ft)
This is the SDE specification of a stochastic process.
|
double |
EulerSDE.dXt(Ft ft)
This is the SDE specification of a stochastic process.
|
double |
BMSDE.dXt(Ft ft) |
double |
DiscreteSDE.dXt(Ft ft)
This is the SDE specification of a stochastic process.
|
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