schemes

Documentation

Index

• func NewForwardEuler2D(seed int64, position [2]float64, f func([2]float64) [2]float64, ...) *forwardEuler2D
• func NewMilstein(seed int64, position [2]float64, f func([2]float64) [2]float64, ...) *milstein2D
• type ForwardEuler2D
• type Milstein2D
• type NumericScheme

Functions

func NewForwardEuler2D

func NewForwardEuler2D(seed int64,
	position [2]float64,
	f func([2]float64) [2]float64,
	g func([2]float64) [2]float64) *forwardEuler2D

func NewMilstein

func NewMilstein(seed int64,
	position [2]float64,
	f func([2]float64) [2]float64,
	g func([2]float64) [2]float64,
	dg func([2]float64) [2]float64) *milstein2D

Types

type ForwardEuler2D

type ForwardEuler2D interface {
	NumericScheme
	NewForwardEuler(int64,
		[2]float64,
		func([2]float64) [2]float64,
		func([2]float64) [2]float64,
	) forwardEuler2D
	GetPosition() [2]float64
	GetRandomState() brownian.BrownianState
}

type Milstein2D

type Milstein2D interface {
	NumericScheme
	NewMilstein(int64,
		[2]float64,
		func([2]float64) [2]float64,
		func([2]float64) [2]float64,
	) milstein2D
	GetPosition() [2]float64
	GetRandomState() brownian.BrownianState
}

type NumericScheme

type NumericScheme interface {
	Update(float64)
	GetPosition() [2]float64
}