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Sde
- Class in
ch.epfl.lis.sde
This class represents a system of stochastic differential equations (SDE).
Sde()
- Constructor for class ch.epfl.lis.sde.
Sde
Default constructor
Sde(int)
- Constructor for class ch.epfl.lis.sde.
Sde
This constructor create a new system of equations.
SdeSettings
- Class in
ch.epfl.lis.sde
Offers global parameters (settings) and functions used by the classes of the SDE package.
SdeSettings()
- Constructor for class ch.epfl.lis.sde.
SdeSettings
Default constructor
SdeSolver
- Class in
ch.epfl.lis.sde.solver
This class serves as basis for the implementation of a SDE solver.
SdeSolver()
- Constructor for class ch.epfl.lis.sde.solver.
SdeSolver
Default constructor
SdeSolverFactory
- Class in
ch.epfl.lis.sde.solver
This class allows to instantiate easily SDE solvers.
SdeSolverFactory()
- Constructor for class ch.epfl.lis.sde.solver.
SdeSolverFactory
Default constructor
setAbsolutePrecision(double)
- Method in class ch.epfl.lis.sde.solver.
SdeSolver
setDimension(int)
- Method in class ch.epfl.lis.sde.
Sde
setDt(double)
- Method in class ch.epfl.lis.sde.
SdeSettings
setH(double)
- Method in class ch.epfl.lis.sde.solver.
SdeSolver
setId(String)
- Method in class ch.epfl.lis.sde.
Sde
setMaxt(double)
- Method in class ch.epfl.lis.sde.
SdeSettings
setMultiplier(int)
- Method in class ch.epfl.lis.sde.
SdeSettings
setRelativePrecision(double)
- Method in class ch.epfl.lis.sde.solver.
SdeSolver
setSeed(int)
- Method in class ch.epfl.lis.sde.
SdeSettings
setSystem(Sde)
- Method in class ch.epfl.lis.sde.solver.
SdeSolver
setX(DoubleMatrix1D)
- Method in class ch.epfl.lis.sde.solver.
SdeSolver
SRK15
- Class in
ch.epfl.lis.sde.solver
This class implements the explicit Runge-Kutta method (strong order of convergence 1.5) to be used with SDEs using Ito scheme.
SRK15()
- Constructor for class ch.epfl.lis.sde.solver.
SRK15
Default constructor
SRK_ITO
- Static variable in class ch.epfl.lis.sde.solver.
SdeSolverFactory
step()
- Method in class ch.epfl.lis.sde.solver.
SdeSolver
Step the integration from the current time t1 to t1+H_, return H_.
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