Interface DiffusionMatrix

    • Method Detail

      • evaluate

        Matrix evaluate​(MultivariateFt ft)
        Evaluate the diffusion matrix, σ(dt, Xt, Zt, ...), with respect to a filtration.
        Parameters:
        ft - a filtration
        Returns:
        the diffusion matrix
      • dimension

        int dimension()
        Get the dimension of the process. This is the same as the the number of rows in the diffusion matrix.
        Returns:
        the dimension of the process
      • nB

        int nB()
        Get the number of independent Brownian motions. This is the same as the number of columns in the diffusion matrix.
        Returns:
        the number of independent Brownian motions