pub struct Increment<B: Clone> {
pub dw: B,
pub dz: B,
}Expand description
Both Brownian increments for one time step.
dw = dW = z1 * sqrt(dt)
dz = integral_0^dt W(s) ds = (dt/2)*dw - sqrt(dt^3/12)*z2
Euler and Milstein ignore dz. SRI uses both.
Derivation: dZ = dt*dW - I_{(0,1)}, conditional mean of I_{(0,1)} given dW
is (dt/2)*dW, conditional variance is dt^3/12. Negative sign is correct.
Verified: E[dZ]=0, Var[dZ]=dt^3/3, Cov(dW,dZ)=dt^2/2.
Fields§
§dw: B§dz: BTrait Implementations§
Auto Trait Implementations§
impl<B> Freeze for Increment<B>where
B: Freeze,
impl<B> RefUnwindSafe for Increment<B>where
B: RefUnwindSafe,
impl<B> Send for Increment<B>where
B: Send,
impl<B> Sync for Increment<B>where
B: Sync,
impl<B> Unpin for Increment<B>where
B: Unpin,
impl<B> UnsafeUnpin for Increment<B>where
B: UnsafeUnpin,
impl<B> UnwindSafe for Increment<B>where
B: UnwindSafe,
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T: ?Sized,
impl<T> BorrowMut<T> for Twhere
T: ?Sized,
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Source§impl<SS, SP> SupersetOf<SS> for SPwhere
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The inverse inclusion map: attempts to construct
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Checks if
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fn to_subset_unchecked(&self) -> SS
Use with care! Same as
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fn from_subset(element: &SS) -> SP
The inclusion map: converts
self to the equivalent element of its superset.