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Add Brownian increments to simulation #76

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sschlenkrich
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This PR adds functionality to store the Brownian motion increments in a Monte Carlo simulation.

This feature can be used if the Brownian motion is required for processes subsequent to model simulation. A particular use case is calibration of value process volatilities for deep BSDE methods.

@sschlenkrich sschlenkrich force-pushed the wip/add-brownian-shocks branch from 13af838 to 10ab3e0 Compare April 12, 2024 08:49
@sschlenkrich sschlenkrich merged commit 314fd35 into frame-consulting:main Apr 12, 2024
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@sschlenkrich sschlenkrich deleted the wip/add-brownian-shocks branch April 12, 2024 12:35
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