Package ch.epfl.lis.sde.solver

Implements methods to numerically integrate stochastic differential equations (SDEs).

See:
          Description

Class Summary
EulerHeun This class implements the explicit Euler-Heun method (strong order of convergence 0.5) to be used with SDEs using Stratonovich scheme.
EulerMaruyama This class implements the explicit Euler-Maruyama method (strong order of convergence 0.5) to be used with SDEs using Ito scheme.
MilsteinIto This class implements the explicit Milstein method (strong order of convergence 1) to be used with SDEs using Ito scheme.
MilsteinStratonovich This class implements the explicit Milstein method (strong order of convergence 1) to be used with SDEs using Stratonovich scheme.
SdeSolver This class serves as basis for the implementation of a SDE solver.
SdeSolverFactory This class allows to instantiate easily SDE solvers.
SRK15 This class implements the explicit Runge-Kutta method (strong order of convergence 1.5) to be used with SDEs using Ito scheme.
 

Package ch.epfl.lis.sde.solver Description

Implements methods to numerically integrate stochastic differential equations (SDEs).

Package Specification

Compatible with the Java versions 1.5+.