Monte Carlo engine with 1D path
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Key: MATH-463
URL: https://issues.apache.org/jira/browse/MATH-463
Project: Commons Math
Issue Type: New Feature
Reporter: Pavel Ryzhov
Fix For: 3.0
Quite simple Monte-Carlo engine:
1. Generates N samples (paths) of Ito process with given drift and
diffusion. It uses simple Euler discretization on equally spaced time scale.
2. For each path evaluate some path function and provide this value to
SummaryStatistics.
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