Class EulerDiscretization

Euler discretization for stochastic processes

Hierarchy

discretization
- EulerDiscretization

Index

Methods

Methods

covariance

covariance(process: StochasticProcess, t0: Time, x0: Real[], dt: Time): Matrix

Overrides discretization.covariance
- Defined in ql/processes/eulerdiscretization.ts:31
Parameters
- process: StochasticProcess
- t0: Time
- x0: Real[]
- dt: Time
Returns Matrix

diffusion1

diffusion1(process: StochasticProcess, t0: Time, x0: Real[], dt: Time): Matrix

Overrides discretization.diffusion1
- Defined in ql/processes/eulerdiscretization.ts:22
Parameters
- process: StochasticProcess
- t0: Time
- x0: Real[]
- dt: Time
Returns Matrix

diffusion2

diffusion2(process: StochasticProcess1D, t0: Time, x0: Real, dt: Time): Real

Overrides discretization.diffusion2
- Defined in ql/processes/eulerdiscretization.ts:27
Parameters
- process: StochasticProcess1D
- t0: Time
- x0: Real
- dt: Time
Returns Real

drift1

drift1(process: StochasticProcess, t0: Time, x0: Real[], dt: Time): Real[]

Overrides discretization.drift1
- Defined in ql/processes/eulerdiscretization.ts:14
Parameters
- process: StochasticProcess
- t0: Time
- x0: Real[]
- dt: Time
Returns Real[]

drift2

drift2(process: StochasticProcess1D, t0: Time, x0: Real, dt: Time): Real

Overrides discretization.drift2
- Defined in ql/processes/eulerdiscretization.ts:18
Parameters
- process: StochasticProcess1D
- t0: Time
- x0: Real
- dt: Time
Returns Real

variance

variance(process: StochasticProcess1D, t0: Time, x0: Real, dt: Time): Real

Overrides discretization.variance
- Defined in ql/processes/eulerdiscretization.ts:39
Parameters
- process: StochasticProcess1D
- t0: Time
- x0: Real
- dt: Time
Returns Real