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Class Summary |
| Euler |
The Euler method is a first-order numerical procedure for integrating stochastic differential equations (SDEs) with a given initial value. |
| Expectation |
This class computes the expectation of a stochastic integral. |
| Milstein |
The Milstein method is a first-order numerical procedure for integrating stochastic differential equations (SDEs) with a given initial value. |
| PathByIdImpl |
This class implements some common methods to identify a path or a trajectory of a realization of a stochastic process. |
| RandomWalk |
This is the Random Walk construction of a stochastic process per SDE specification. |