public class MultivariateBrownianSDE extends Object implements MultivariateDiscreteSDE
Constructor and Description |
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MultivariateBrownianSDE(int d)
Construct a standard multi-dimensional Brownian motion.
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MultivariateBrownianSDE(Vector mu,
Matrix sigma)
Construct a multi-dimensional Brownian motion.
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Modifier and Type | Method and Description |
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Vector |
dXt(MultivariateFt ft)
This is the SDE specification of a stochastic process.
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MultivariateFt |
getNewFt()
Get an empty filtration of the process.
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int |
nB()
Get the number of independent driving Brownian motions.
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public MultivariateBrownianSDE(int d)
d
- the dimensionpublic Vector dXt(MultivariateFt ft)
MultivariateDiscreteSDE
dXt
in interface MultivariateDiscreteSDE
ft
- filtrationpublic int nB()
MultivariateDiscreteSDE
nB
in interface MultivariateDiscreteSDE
public MultivariateFt getNewFt()
MultivariateDiscreteSDE
getNewFt
in interface MultivariateDiscreteSDE
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