Module net.finmath.lib
Package net.finmath.montecarlo

Class BrownianMotionWithControlVariate

java.lang.Object
net.finmath.montecarlo.BrownianMotionWithControlVariate
All Implemented Interfaces:
BrownianMotion, IndependentIncrements
public class BrownianMotionWithControlVariate
extends Object
implements BrownianMotion
Provides a Brownian motion from given (independent) increments and performs a control of the expectation and the standard deviation. This class references a class providing Brownian increments \( \Delta U(t_{i}) \) and transforms them via \[ \Delta W(t_{i}) = a \Delta U(t_{i}) + b \] such that \Delta W(t_{i}) has exact mean 0 and exact standard deviation \( \sqrt{\Delta t_{i}} \).
Version:
1.0
Author:
Christian Fries