public class MultivariateBrownianSDE extends Object implements MultivariateDiscreteSDE
| Constructor and Description |
|---|
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 |
|---|---|
Vector |
dXt(MultivariateFt ft)
This is the SDE specification of a stochastic process.
|
MultivariateFt |
getNewFt()
Get an empty filtration of the process.
|
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)
MultivariateDiscreteSDEdXt in interface MultivariateDiscreteSDEft - filtrationpublic int nB()
MultivariateDiscreteSDEnB in interface MultivariateDiscreteSDEpublic MultivariateFt getNewFt()
MultivariateDiscreteSDEgetNewFt in interface MultivariateDiscreteSDECopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.