Uses of Interface
net.finmath.montecarlo.process.Process
Package
Description
Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
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Uses of Process in net.finmath.montecarlo.process
Modifier and TypeInterfaceDescriptioninterface
The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementingProcessModel
: The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess)
.Modifier and TypeClassDescriptionclass
This class implements some numerical schemes for multi-dimensional multi-factor Ito process.class
A linear interpolated time discrete process, that is, given a collection of tuples (Double
,RandomVariable
) representing realizations \( X(t_{i}) \) this class implements theProcess
and creates a stochastic process \( t \mapsto X(t) \) where \[ X(t) = \frac{t_{i+1} - t}{t_{i+1}-t_{i}} X(t_{i}) + \frac{t - t_{i}}{t_{i+1}-t_{i}} X(t_{i+1}) \] with \( t_{i} \leq t \leq t_{i+1} \).class
This class is an abstract base class to implement a multi-dimensional multi-factor Ito process.