| Interface | Description |
|---|---|
| DiscretizedSDE |
This interface represents the discretized version of a univariate SDE.
|
| FtAdaptedFunction |
This represents a 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.
|
| GeometricBrownian |
A Geometric Brownian motion (GBM) (occasionally, exponential Brownian motion) is
a continuous-time stochastic process in which the logarithm of the randomly varying quantity follows a Brownian motion.
|
| Milstein |
Milstein scheme is a first-order approximation to a continuous-time SDE.
|
| SDE |
This class represents a univariate, continuous-time Stochastic Differential Equation of this form:
dX(t) = μ(t, Xt, Zt, ...) * dt + σ(t, Xt, Zt, ...) * dB(t).
|
| XtAdaptedFunction |
This represents a Ft-adapted function that depends only on X(t).
|