Package org.drip.sample.kolmogorov

Kolmogorov and Fokker Planck Evolution
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    BrownianTemporalPDF
    BrownianTemporalPDF illustrates the Temporal Distribution of an Evolving R1 Brownian Motion.
    CIRSteadyStatePDF
    CIRSteadyStatePDF demonstrates the Computation of the PDF from an Evolving R1 Cox-Ingersoll-Ross Process.
    CIRTemporalPDF
    CIRTemporalPDF demonstrates the Computation of the PDF from an Evolving R1 Cox-Ingersoll-Ross Process.
    OrnsteinUhlenbeckSteadyStatePDF
    OrnsteinUhlenbeckSteadyStatePDF illustrates the Steady-State Distribution of an Evolving R1 Ornstein-Uhlenbeck Process.
    OrnsteinUhlenbeckTemporalPDF
    OrnsteinUhlenbeckTemporalPDF illustrates the Temporal Distribution of an Evolving R1 Ornstein Uhlenbeck Process.