public class MultivariateBrownianRRG extends Object implements MultivariateRandomRealizationGenerator
Constructor and Description |
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MultivariateBrownianRRG(int d,
int T)
Construct a random realization generator to produce multi-dimensional Brownian paths at evenly spaced time points [0, 1, ...].
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MultivariateBrownianRRG(int d,
TimeGrid timePoints)
Construct a random realization generator to produce multi-dimensional Brownian paths at time points specified.
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MultivariateBrownianRRG(int d,
TimeGrid timePoints,
Vector initial)
Construct a random realization generator to produce multi-dimensional Brownian paths at time points specified.
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Modifier and Type | Method and Description |
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MultivariateRealization |
nextRealization()
Construct a realization of a multivariate stochastic process.
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void |
seed(long... seeds)
Seed the random number/vector/scenario generator to produce repeatable experiments.
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public MultivariateBrownianRRG(int d, TimeGrid timePoints, Vector initial)
d
- the dimension of the Brownian motiontimePoints
- specifying the time points in a gridinitial
- the initial value of the processpublic MultivariateBrownianRRG(int d, TimeGrid timePoints)
d
- the dimension of the Brownian motiontimePoints
- specifying the time points in a gridpublic MultivariateBrownianRRG(int d, int T)
d
- the dimension of the Brownian motionT
- the number of time pointspublic void seed(long... seeds)
Seedable
public MultivariateRealization nextRealization()
MultivariateRandomRealizationGenerator
nextRealization
in interface MultivariateRandomRealizationGenerator
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