FeynmanKac.IPdeCoefficients.Sigma Method

FeynmanKacIPdeCoefficientsSigma Method

Returns the value of the $\sigma$ coefficient at the given point.

Namespace: Imsl.Math
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0

Syntax

double Sigma(
	double x,
	double t
)

Function Sigma ( 
	x As Double,
	t As Double
) As Double

double Sigma(
	double x, 
	double t
)

abstract Sigma : 
        x : float * 
        t : float -> float

Parameters

x: Type: SystemDouble
A double scalar, the point in space at which $\sigma$ is to be evaluated.
t: Type: SystemDouble
A double scalar, the time point at which $\sigma$ is to be evaluated.

Return Value

Type: Double
A double scalar, the value of $\sigma$ at (x,t).

Remarks

Time dependency of $\sigma$ can be controlled via method SetTimeDependence. Use of this method will usually yield a more efficient algorithm because some finite element matrices do not have to be reassembled for each t value.

Reference

FeynmanKacIPdeCoefficients Interface

Imsl.Math Namespace