| public covariance ( QLNet.StochasticProcess process, double t0, Vector x0, double dt ) : Matrix | ||
| process | QLNet.StochasticProcess | |
| t0 | double | |
| x0 | Vector | |
| dt | double | |
| Результат | Matrix | |
public Matrix covariance(StochasticProcess process, double t0, Vector x0, double dt)
{
Matrix sigma = process.diffusion(t0, x0);
Matrix result = sigma * Matrix.transpose(sigma) * dt;
return result;
}
