com.numericalmethod.suanshu.stats.stochasticprocess.univariate.integration

Class Bt

java.lang.Object

com.numericalmethod.suanshu.analysis.function.rn2r1.univariate.UnivariateRealFunction

com.numericalmethod.suanshu.stats.stochasticprocess.univariate.integration.FiltrationFunction

com.numericalmethod.suanshu.stats.stochasticprocess.univariate.integration.Bt

All Implemented Interfaces:

Function<Vector,java.lang.Double>, RealScalarFunction, java.io.Serializable

public class Bt
extends FiltrationFunction

This is a FiltrationFunction that returns B(t), the Brownian motion value at the t-th time point.

See Also:

Serialized Form

Nested Class Summary

Nested classes/interfaces inherited from interface com.numericalmethod.suanshu.analysis.function.Function

Function.EvaluationException

Field Summary

Fields inherited from class com.numericalmethod.suanshu.stats.stochasticprocess.univariate.integration.FiltrationFunction

FT

Constructor Summary

Constructors

Constructor and Description
Bt()

Method Summary

Modifier and Type	Method and Description
double	evaluate(int t) Compute the value at the t-th time point, f(T[t]).

Methods inherited from class com.numericalmethod.suanshu.stats.stochasticprocess.univariate.integration.FiltrationFunction

evaluate, ft, setFT

Methods inherited from class com.numericalmethod.suanshu.analysis.function.rn2r1.univariate.UnivariateRealFunction

dimensionOfDomain, dimensionOfRange, evaluate

Methods inherited from class java.lang.Object

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

Constructor Detail

Bt

public Bt()

Method Detail

evaluate

public double evaluate(int t)

Description copied from class: FiltrationFunction

Compute the value at the t-th time point, f(T[t]).

Specified by:

evaluate in class FiltrationFunction

Parameters:

t - the index to time

Returns:

f(T[t])