Class DiffusionSigma
- java.lang.Object
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- dev.nm.stat.stochasticprocess.multivariate.sde.coefficients.DiffusionSigma
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- All Implemented Interfaces:
DiffusionMatrix
- Direct Known Subclasses:
ConstantSigma2
public abstract class DiffusionSigma extends Object implements DiffusionMatrix
This class implements the diffusion term in the form of a diffusion matrix. Each matrix entry is an Ft adapted function.
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Constructor Summary
Constructors Constructor Description DiffusionSigma()
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Method Summary
All Methods Instance Methods Abstract Methods Concrete Methods Modifier and Type Method Description Matrixevaluate(MultivariateFt ft)Evaluate the diffusion matrix, σ(dt, Xt, Zt, ...), with respect to a filtration.abstract FtAdaptedRealFunctionsigma_ij(int i, int j)Get the Ft adapted function the D[i,j] entry in the diffusion matrix.-
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Methods inherited from interface dev.nm.stat.stochasticprocess.multivariate.sde.coefficients.DiffusionMatrix
dimension, nB
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Method Detail
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evaluate
public Matrix evaluate(MultivariateFt ft)
Description copied from interface:DiffusionMatrixEvaluate the diffusion matrix, σ(dt, Xt, Zt, ...), with respect to a filtration.- Specified by:
evaluatein interfaceDiffusionMatrix- Parameters:
ft- a filtration- Returns:
- the diffusion matrix
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sigma_ij
public abstract FtAdaptedRealFunction sigma_ij(int i, int j)
Get the Ft adapted function the D[i,j] entry in the diffusion matrix.- Parameters:
i- the row indexj- the column index- Returns:
- D[i,j]
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