[
https://issues.apache.org/jira/browse/MATH-463?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13615855#comment-13615855
]
Pavel Ryzhov commented on MATH-463:
-----------------------------------
Just to say that it was moved to GitHub: https://github.com/paulrzcz/montecarlo
> Monte Carlo engine with 1D path
> -------------------------------
>
> Key: MATH-463
> URL: https://issues.apache.org/jira/browse/MATH-463
> Project: Commons Math
> Issue Type: New Feature
> Reporter: Pavel Ryzhov
> Attachments: mc1.patch
>
>
> 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.
--
This message is automatically generated by JIRA.
If you think it was sent incorrectly, please contact your JIRA administrators
For more information on JIRA, see: http://www.atlassian.com/software/jira
