Uses of Class
dev.nm.stat.stochasticprocess.univariate.sde.SDE
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Uses of SDE in dev.nm.stat.stochasticprocess.univariate.random
Constructors in dev.nm.stat.stochasticprocess.univariate.random with parameters of type SDE Constructor Description ExpectationAtEndTime(SDE sde, double T0, double T, int nT, double x0, int nSims)Compute the expectation of a stochastic SDE at the end time.RandomRealizationOfRandomProcess(SDE sde, int size)Construct a random realization generator from an SDE.RandomRealizationOfRandomProcess(SDE sde, TimeGrid timeGrid, double x0)Construct a random realization generator from an SDE. -
Uses of SDE in dev.nm.stat.stochasticprocess.univariate.sde.discrete
Constructors in dev.nm.stat.stochasticprocess.univariate.sde.discrete with parameters of type SDE Constructor Description EulerSDE(SDE sde)Discretize a continuous-time SDE using the Euler scheme.MilsteinSDE(SDE sde)Discretize a continuous-time SDE using the Milstein scheme. -
Uses of SDE in dev.nm.stat.stochasticprocess.univariate.sde.process
Subclasses of SDE in dev.nm.stat.stochasticprocess.univariate.sde.process Modifier and Type Class Description classGBMProcessA Geometric Brownian motion (GBM) (occasionally, exponential Brownian motion) is a continuous-time stochastic process in which the logarithm of the randomly varying quantity follows a Brownian motion. -
Uses of SDE in dev.nm.stat.stochasticprocess.univariate.sde.process.ou
Subclasses of SDE in dev.nm.stat.stochasticprocess.univariate.sde.process.ou Modifier and Type Class Description classOrnsteinUhlenbeckProcessThis class represents a univariate Ornstein-Uhlenbeck (OU) process.
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