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Description
Class Summary | |
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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. |
Implements methods to numerically integrate stochastic differential equations (SDEs).
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