public abstract class RandomProcess extends Object implements RandomNumberGenerator
| Constructor and Description |
|---|
RandomProcess(TimeGrid timeGrid)
Construct a univariate random process.
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| Modifier and Type | Method and Description |
|---|---|
protected double |
dB(double dt)
Get a Brownian motion increment.
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protected double |
nextTime()
Get the next time point in the time grid.
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void |
seed(long... seeds)
Seed the random number/vector/scenario generator to produce repeatable experiments.
|
double |
time()
Get the current time.
|
protected double |
Zt()
Get a Gaussian innovation.
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clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, waitnextDoublepublic RandomProcess(TimeGrid timeGrid)
timeGrid - the time pointspublic void seed(long... seeds)
Seedablepublic double time()
NaN if nextTime() is not already calledprotected double nextTime()
protected double Zt()
protected double dB(double dt)
dt - the time incrementCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.