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

Class ConstantDrift

java.lang.Object

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

All Implemented Interfaces:

Drift, FtAdaptedVectorFunction, java.io.Serializable

public class ConstantDrift
extends java.lang.Object
implements Drift

The class represents a constant drift function.

See Also:

Serialized Form

Field Summary

Fields

Modifier and Type	Field and Description
Vector	mu the drift

Constructor Summary

Constructors

Constructor and Description
ConstantDrift(Vector mu) Construct a constant drift function.

Method Summary

Modifier and Type	Method and Description
Vector	evaluate(Ft ft) Evaluate this function, f, at time t.

Methods inherited from class java.lang.Object

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

Field Detail

mu

public final Vector mu

the drift

Constructor Detail

ConstantDrift

public ConstantDrift(Vector mu)

Construct a constant drift function.

Parameters:

mu - the drift

Method Detail

evaluate

public Vector evaluate(Ft ft)

Description copied from interface: FtAdaptedVectorFunction

Evaluate this function, f, at time t.

Specified by:

evaluate in interface FtAdaptedVectorFunction

Parameters:

ft - the filtration at time t

Returns:

f(t) = f(F_t)