Template Class WienerProcess

• Defined in File sde_base.hpp

Class Documentation

template<system_state StateType>
class WienerProcess

Wiener process (Brownian motion) generator.

Public Types

using state_type = StateType

using time_type = typename StateType::value_type

using value_type = typename StateType::value_type

Public Functions

inline explicit WienerProcess(size_t dimension, uint32_t seed = 0)

inline void generate_increment(state_type &dW, time_type dt)

inline void set_seed(uint32_t seed)

inline size_t dimension() const