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

Class FiltrationFunction

java.lang.Object

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

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

All Implemented Interfaces:

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

Direct Known Subclasses:

Bt, F_sum_BtDt, F_sum_tBtDt

public abstract class FiltrationFunction
extends UnivariateRealFunction

This class represents a function of time and a (fixed) Brownian path. The function is not necessarily adapted.

See Also:

Serialized Form

Nested Class Summary

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

Function.EvaluationException

Field Summary

Fields

Modifier and Type	Field and Description
protected Filtration	FT the filtration, containing all histories

Constructor Summary

Constructors

Constructor and Description
FiltrationFunction()

Method Summary

Modifier and Type	Method and Description
double	evaluate(double t) Evaluate y = f(x).
abstract double	evaluate(int t) Compute the value at the t-th time point, f(T[t]).
double[]	ft() Compute all values at all time points.
void	setFT(Filtration FT) Set the filtration for this function.

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

Field Detail

FT

protected Filtration FT

the filtration, containing all histories

Constructor Detail

FiltrationFunction

public FiltrationFunction()

Method Detail

evaluate

public abstract double evaluate(int t)

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

Parameters:

t - the index to time

Returns:

f(T[t])

setFT

public void setFT(Filtration FT)

Set the filtration for this function.

This function is called for each call to Integrator.integral(com.numericalmethod.suanshu.stats.stochasticprocess.univariate.integration.Filtration) before doing the integration.

Parameters:

FT - a filtration

ft

public double[] ft()

Compute all values at all time points.

Returns:

{f(T[t])}, for each time point

evaluate

public double evaluate(double t)

Description copied from class: UnivariateRealFunction

Evaluate y = f(x).

Specified by:

evaluate in class UnivariateRealFunction

Parameters:

t - x

Returns:

f(x)