/*! Returns an approximation of the variance defined as
* \f$ \sigma(t_0, x_0)^2 \Delta t \f$. */
public double variance(StochasticProcess1D process, double t0, double x0, double dt)
{
double sigma = process.diffusion(t0, x0);
return(sigma * sigma * dt);
}
/*! Returns an approximation of the diffusion defined as
* \f$ \sigma(t_0, x_0) \sqrt{\Delta t} \f$. */
public double diffusion(StochasticProcess1D process, double t0, double x0, double dt)
{
return(process.diffusion(t0, x0) * Math.Sqrt(dt));
}
