Class ExpectationAtEndTime
- java.lang.Object
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- dev.nm.stat.stochasticprocess.univariate.random.ExpectationAtEndTime
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public class ExpectationAtEndTime extends Object
This class computes the expectation (mean) and the variance of a stochastic process, by Monte Carlo simulation, at the end of an interval: \(E(X_T)\).
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Constructor Summary
Constructors Constructor Description ExpectationAtEndTime(RandomProcess process, int size, int nSims)
Compute the expectation of a random process at the end time.ExpectationAtEndTime(RandomRealizationGenerator rrg, int nSims)
Compute the expectation of a random process at the end time.ExpectationAtEndTime(SDE sde, double T0, double T, int nT, double x0, int nSims)
Compute the expectation of a stochastic SDE at the end time.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
value()
Get the expectation (the mean).double
variance()
Get the variance.
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Constructor Detail
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ExpectationAtEndTime
public ExpectationAtEndTime(RandomRealizationGenerator rrg, int nSims)
Compute the expectation of a random process at the end time.- Parameters:
rrg
- a generator of realizations of the random processnSims
- the number of simulations
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ExpectationAtEndTime
public ExpectationAtEndTime(RandomProcess process, int size, int nSims)
Compute the expectation of a random process at the end time.- Parameters:
process
- a random processsize
- the size of the realizationsnSims
- the number of simulations
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ExpectationAtEndTime
public ExpectationAtEndTime(SDE sde, double T0, double T, int nT, double x0, int nSims)
Compute the expectation of a stochastic SDE at the end time.- Parameters:
sde
- the integrand SDET0
- the begin of the time intervalT
- the end of the time intervalnT
- the number of sub-intervals in [T0, T]x0
- the initial valuenSims
- the number of simulations
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