Monte Carlo Stochastic Process library
The intent of this library is to provide Monte Carlo calculations on stochastic processes. The library is used in my internal projects quite extensively and steady updates are provided.
The main features are:
- Parallelized execution
- Stochastic processes: single and multiple dimensional
- Optimized normal random number generators
- Several variance reduction technics are supported: antithetic paths, low discrepancy Sobol generator and brownian bridge
- Maximum Likelihood estimation by Monte Carlo probability sampling
Copyright 2013 Pavel Ryzhov
Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance with the License. You may obtain a copy of the License at
Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the License for the specific language governing permissions and limitations under the License.