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, java.io.Serializable

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, Serialized Form

Nested Class Summary

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

RandomWalk.MultiVariateRealization

Field Summary

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

sde, timePoints

Constructor Summary

Constructors

Constructor and Description
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

nextRealization, 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