Class discretization

Hierarchy

discretization
- EulerDiscretization
- EndEulerDiscretization

Index

Methods

Methods

covariance

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

- Defined in ql/stochasticprocess.ts:163
Parameters
- p: StochasticProcess
- t0: Time
- x0: Real[]
- dt: Time
Returns Matrix

diffusion1

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

- Defined in ql/stochasticprocess.ts:155
Parameters
- p: StochasticProcess
- t0: Time
- x0: Real[]
- dt: Time
Returns Matrix

diffusion2

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

- Defined in ql/stochasticprocess.ts:159
Parameters
- p: StochasticProcess1D
- t0: Time
- x0: Real
- dt: Time
Returns Real

drift1

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

- Defined in ql/stochasticprocess.ts:147
Parameters
- p: StochasticProcess
- t0: Time
- x0: Real[]
- dt: Time
Returns Real[]

drift2

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

- Defined in ql/stochasticprocess.ts:151
Parameters
- p: StochasticProcess1D
- t0: Time
- x0: Real
- dt: Time
Returns Real

variance

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

- Defined in ql/stochasticprocess.ts:167
Parameters
- p: StochasticProcess1D
- t0: Time
- x0: Real
- dt: Time
Returns Real