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

Class RandomWalk

java.lang.Object

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

All Implemented Interfaces:

Construction, java.io.Serializable

Direct Known Subclasses:

Euler, Milstein

public class RandomWalk
extends java.lang.Object
implements Construction

This is the Random Walk construction of a stochastic process per SDE specification.

Given an SDE, we compute the increments of the stochastic process. A realization is the cumulative summation of these independent increments.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
class	RandomWalk.Realization

Field Summary

Fields

Modifier and Type	Field and Description
DiscretizedSDE	sde the SDE specification, in discretized form
TimeGrid	timePoints the set of discretized time points

Constructor Summary

Constructors

Constructor and Description
RandomWalk(DiscretizedSDE sde, TimeGrid timePoints) Construct a univariate stochastic process from an SDE.

Method Summary

Modifier and Type	Method and Description
RandomWalk.Realization	nextRealization(double x0) Construct a realization of the stochastic process.
void	seed(long seed) Seed the construction process so that we may generate the same realizations.

Methods inherited from class java.lang.Object

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

Field Detail

sde

public final DiscretizedSDE sde

the SDE specification, in discretized form

timePoints

public final TimeGrid timePoints

the set of discretized time points

Constructor Detail

RandomWalk

public RandomWalk(DiscretizedSDE sde,
                  TimeGrid timePoints)

Construct a univariate stochastic process from an SDE. The realizations are generated by the Random Walk method.

Parameters:

sde - an SDE

timePoints - specifying the time points in a grid

Method Detail

nextRealization

public RandomWalk.Realization nextRealization(double x0)

Description copied from interface: Construction

Construct a realization of the stochastic process. The realization a time series.

Specified by:

nextRealization in interface Construction

Parameters:

x0 - the starting point of the trajectory

Returns:

a realization

seed

public void seed(long seed)

Description copied from interface: Construction

Seed the construction process so that we may generate the same realizations.

Specified by:

seed in interface Construction

Parameters:

seed - seeding the same seed gives arise to the same realization