com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.integration.sde
Class Euler

java.lang.Object
  com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.integration.sde.RandomWalk
      com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.integration.sde.Euler

All Implemented Interfaces:

Construction

public class Euler
extends RandomWalk

The Euler method is a first-order numerical procedure for integrating stochastic differential equations (SDEs) with a given initial value.

See Also:

Wikipedia: Euler–Maruyama method

Nested Class Summary

Nested classes/interfaces inherited from class com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.integration.sde.RandomWalk

RandomWalk.Iterator, RandomWalk.MultiVariateRealization

Field Summary

Fields inherited from class com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.integration.sde.RandomWalk

sde

Constructor Summary

Euler(SDE sde, int T)
Simulate an SDE using the Euler scheme at even time points, [0, 1, ......, T].

Euler(SDE sde, TimeGrid timePoints)
Simulate an SDE using the Euler scheme at time points specified.

Method Summary

Methods inherited from class com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.integration.sde.RandomWalk

realization, seed

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

Euler

public Euler(SDE sde,
             TimeGrid timePoints)

Simulate an SDE using the Euler scheme at time points specified.

Parameters:

sde - the stochastic differential equation specification

timePoints - specifying the time points in a grid

Euler

public Euler(SDE sde,
             int T)

Simulate an SDE using the Euler scheme at even time points, [0, 1, ......, T].

Parameters:

sde - the stochastic differential equation specification

T - the duration of the simulation