com.numericalmethod.suanshu.stats.stochasticprocess.univariate.integration.sde
Class Milstein

java.lang.Object
  com.numericalmethod.suanshu.stats.stochasticprocess.univariate.integration.sde.RandomWalk
      com.numericalmethod.suanshu.stats.stochasticprocess.univariate.integration.sde.Milstein

All Implemented Interfaces:

Construction

public class Milstein
extends RandomWalk

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

See Also:

Wikipedia: Milstein method

Nested Class Summary

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

RandomWalk.Iterator, RandomWalk.Realization

Field Summary

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

sde

Constructor Summary

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

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

Method Summary

Methods inherited from class com.numericalmethod.suanshu.stats.stochasticprocess.univariate.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

Milstein

public Milstein(SDE sde,
                TimeGrid timePoints)

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

Parameters:

sde - the stochastic differential equation specification

timePoints - specifying the time points in a grid

Milstein

public Milstein(SDE sde,
                int T)

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

Parameters:

sde - the stochastic differential equation specification

T - the duration of the simulation