public class MultivariateRandomWalk extends MultivariateRandomProcess
Constructor and Description |
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MultivariateRandomWalk(MultivariateDiscreteSDE sde,
TimeGrid timeGrid,
Vector x0)
Construct a multivariate stochastic process from an SDE.
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Modifier and Type | Method and Description |
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double[] |
nextVector()
Get the next random vector.
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void |
seed(long... seeds)
Seed the random number/vector/scenario generator to produce repeatable experiments.
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public MultivariateRandomWalk(MultivariateDiscreteSDE sde, TimeGrid timeGrid, Vector x0)
sde
- a discrete SDEtimeGrid
- specifying the time points in a gridx0
- the initial value of the processpublic void seed(long... seeds)
Seedable
seed
in interface Seedable
seed
in class MultivariateRandomProcess
seeds
- the seedspublic double[] nextVector()
RandomVectorGenerator
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