Package org.drip.dynamics.kolmogorov

Fokker Planck Kolmogorov Forward/Backward
Author:
Lakshmi Krishnamurthy
  • Interface Summary
    Interface Description
    RiskenOmegaEstimator
    RiskenOmegaEstimator exposes the Omega Estimation using the Risken Algorithm.
  • Class Summary
    Class Description
    R1FokkerPlanck
    R1FokkerPlanck exposes the R1 Fokker-Planck Probability Density Function Evolution Equation.
    R1FokkerPlanckBrownian
    R1FokkerPlanckBrownian exposes the R1 Brownian Probability Density Function Evolution Equation.
    R1FokkerPlanckCIR
    R1FokkerPlanckCIR exposes the R1 Cox-Ingersoll-Ross Probability Density Function Evolution Equation.
    R1FokkerPlanckCKLS
    R1FokkerPlanckCKLS exposes the R1 Chan-Karolyi-Longstaff-Sanders 1992 Probability Density Function Evolution Equation.
    R1FokkerPlanckOrnsteinUhlenbeck
    R1FokkerPlanckOrnsteinUhlenbeck exposes the R1 Ornstein-Uhlenbeck Probability Density Function Evolution Equation.
    RdFokkerPlanck
    RdFokkerPlanck exposes the Rd Fokker-Planck Probability Density Function Evolution Equation.