| Class | Description |
|---|---|
| Bt |
This is a FiltrationFunction that returns B(t),
the Brownian motion value at the t-th time point.
|
| Expectation |
This class computes the expectation of the following class of integrals.
|
| F_sum_BtDt |
a function of this integral
/1
I = | (B)(dt)
/0
|
| F_sum_tBtDt |
a function of this integral
/1
| (t - 0.5) * (B) (dt)
/0
|
| Filtration |
This class represents the filtration information known at the end of time.
|
| FiltrationFunction |
This class represents a function of time and a (fixed) Brownian path.
|
| IntegralDB |
This class implements the following class of integrals.
|
| IntegralDt |
This class implements the following class of integrals.
|
| Integrator |
The class represents an integral for a function, in the Lebesgue sense.
|