public class BMSDE extends Object implements DiscreteSDE
| Constructor and Description |
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BMSDE()
Construct a univariate standard Brownian motion.
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BMSDE(double mu,
double sigma)
Construct a univariate Brownian motion.
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| Modifier and Type | Method and Description |
|---|---|
double |
dXt(Ft ft)
This is the SDE specification of a stochastic process.
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Ft |
getNewFt()
Get an empty filtration of the process.
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public BMSDE(double mu,
double sigma)
mu - μ, the driftsigma - σ, the diffusion constantpublic BMSDE()
public double dXt(Ft ft)
DiscreteSDEdXt in interface DiscreteSDEft - filtrationpublic Ft getNewFt()
DiscreteSDEgetNewFt in interface DiscreteSDECopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.