public class MultivariateSDE extends Object
Constructor and Description |
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MultivariateSDE(DriftVector mu,
DiffusionMatrix sigma,
int nB)
Construct a multi-dimensional diffusion type stochastic differential equation.
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Modifier and Type | Method and Description |
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int |
dimension()
Get the dimension of the process.
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MultivariateFt |
getFt()
Get an empty filtration of the process.
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DriftVector |
mu()
Get the drift: \(\mu(t,X_t,Z_t,...)\).
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int |
nB()
Get the number of driving Brownian motions.
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DiffusionMatrix |
sigma()
Get the diffusion matrix: \(\sigma(t, X_t, Z_t, ...)\).
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public MultivariateSDE(DriftVector mu, DiffusionMatrix sigma, int nB)
mu
- the driftsigma
- the diffusion matrixnB
- the number of independent driving Brownian motionspublic MultivariateFt getFt()
public int dimension()
public int nB()
public DriftVector mu()
public DiffusionMatrix sigma()
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