Package com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde

Interface Summary

DiscretizedSDE	This interface represents the discretized version of a multivariate SDE.
FtAdaptedRealFunction	This represents a real-valued Ft-adapted function that depends on X(t), B(t), or even on the whole past path of B(s), s ≤ t.
FtAdaptedVectorFunction	This represents a vector-valued Ft-adapted function that depends on X(t), B(t), or even on the whole past path of B(s), s ≤ t.

Class Summary

Bessel	This implement the Bessel Process, sum of squared Brownian motions, using the multi-dimensional SDE.
Euler	The Euler scheme is the first order approximation of an SDE.
Ft	This represents the concept 'Filtration', the information available at time t.
FtWt	This is a filtration implementation that includes the path-dependent information, e.g., Wt.
SDE	This class represents a multi-dimensional, continuous-time, Stochastic Differential Equation (SDE) of this form: dX(t) = μ(t, Xt, Zt, ...) * dt + σ(t, Xt, Zt, ...) * dB(t).