| Interface | Description |
|---|---|
| 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 | Description |
|---|---|
| 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).
|