Class EulerSDE

    • Constructor Detail

      • EulerSDE

        public EulerSDE​(SDE sde)
        Discretize a continuous-time SDE using the Euler scheme.
        Parameters:
        sde - a continuous-time SDE
    • Method Detail

      • 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 interface DiscreteSDE
        Parameters:
        ft - a filtration
        Returns:
        the increment of the process in dt
      • getNewFt

        public Ft getNewFt()
        Description copied from interface: DiscreteSDE
        Get an empty filtration of the process.
        Specified by:
        getNewFt in interface DiscreteSDE
        Returns:
        an empty filtration