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Posted to issues@commons.apache.org by "Thomas Neidhart (JIRA)" <ji...@apache.org> on 2014/02/06 23:27:24 UTC

[jira] [Updated] (MATH-463) Monte Carlo engine with 1D path

     [ https://issues.apache.org/jira/browse/MATH-463?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]

Thomas Neidhart updated MATH-463:
---------------------------------

    Fix Version/s: 4.0

> Monte Carlo engine with 1D path
> -------------------------------
>
>                 Key: MATH-463
>                 URL: https://issues.apache.org/jira/browse/MATH-463
>             Project: Commons Math
>          Issue Type: New Feature
>            Reporter: Pavel Ryzhov
>            Assignee: Thomas Neidhart
>             Fix For: 4.0
>
>         Attachments: mc1.patch
>
>
> Quite simple Monte-Carlo engine:
> 1. Generates N samples (paths) of Ito process with given drift and
> diffusion. It uses simple Euler discretization on equally spaced time scale.
> 2. For each path evaluate some path function and provide this value to
> SummaryStatistics.



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