Class EulerSDE
- java.lang.Object
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- dev.nm.stat.stochasticprocess.univariate.sde.discrete.EulerSDE
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- All Implemented Interfaces:
DiscreteSDE
public class EulerSDE extends Object implements DiscreteSDE
The Euler scheme is the first order approximation of an SDE. \[ dX_t = \mu * dt + \sigma * \sqrt{dt} * Z_t \]- See Also:
- Wikipedia: Euler-Maruyama method
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
dXt(Ft ft)
This is the SDE specification of a stochastic process.Ft
getNewFt()
Get an empty filtration of the process.
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Constructor Detail
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EulerSDE
public EulerSDE(SDE sde)
Discretize a continuous-time SDE using the Euler scheme.- Parameters:
sde
- a continuous-time SDE
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Method Detail
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dXt
public double dXt(Ft ft)
This is the SDE specification of a stochastic process. \(dX_t = \mu * dt + \sigma * \sqrt{dt} * Z_t\)- Specified by:
dXt
in interfaceDiscreteSDE
- Parameters:
ft
- a filtration- Returns:
- the increment of the process in
dt
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getNewFt
public Ft getNewFt()
Description copied from interface:DiscreteSDE
Get an empty filtration of the process.- Specified by:
getNewFt
in interfaceDiscreteSDE
- Returns:
- an empty filtration
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