[ https://issues.apache.org/jira/browse/MATH-463?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]
Thomas Neidhart updated MATH-463: --------------------------------- Assignee: (was: Thomas Neidhart) > 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 > 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. -- This message was sent by Atlassian JIRA (v6.2#6252)