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https://issues.apache.org/jira/browse/MATH-463?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13665096#comment-13665096
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Thomas Neidhart commented on MATH-463:
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Hi Pavel,
on the github repo, could you add an appropriate license header (Apache) to the
source files and / or add a LICENSE.txt that clearly indicates under which
license this code is made available?
Thanks,
Thomas
> 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.
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