com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde

Class SDE

java.lang.Object

com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde.SDE

All Implemented Interfaces:

java.io.Serializable

public class SDE
extends java.lang.Object
implements java.io.Serializable

This class represents a multi-dimensional, continuous-time, Stochastic Differential Equation (SDE) of this form: dX(t) = μ(t, Xt, Zt, ...) * dt + σ(t, Xt, Zt, ...) * dB(t).

See Also:

Serialized Form

Field Summary

Fields

Modifier and Type	Field and Description
Drift	mu the drift
int	nB number of independent driving Brownian motions
Diffusion	sigma the diffusion matrix

Constructor Summary

Constructors

Constructor and Description
SDE(Drift mu, Diffusion sigma, int nB) Construct a multi-dimensional diffusion type stochastic differential equation.

Method Summary

Modifier and Type	Method and Description
Ft	getFt() Get an empty filtration for the process.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

mu

public final Drift mu

the drift

 μ(t, Xt, Zt, ...)
 

sigma

public final Diffusion sigma

the diffusion matrix

 σ(t, Xt, Zt, ...)
 

nB

public final int nB

number of independent driving Brownian motions

Constructor Detail

SDE

public SDE(Drift mu,
           Diffusion sigma,
           int nB)

Construct a multi-dimensional diffusion type stochastic differential equation.

Parameters:

mu - the drift

sigma - the diffusion matrix

nB - number of independent driving Brownian motions

Method Detail

getFt

public Ft getFt()

Get an empty filtration for the process.

Returns:

an empty filtration