Class Filtration
- java.lang.Object
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- dev.nm.stat.stochasticprocess.univariate.filtration.Filtration
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public class Filtration extends Object
This class represents the filtration information known at the end of time. It contains all histories about a simulation.
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Constructor Summary
Constructors Constructor Description Filtration(UnivariateTimeSeries<Double,? extends UnivariateTimeSeries.Entry<Double>> Bt)
Construct aFiltration
from a Brownian path.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
B(int i)
Get the Brownian motion value at the i-th time point.double[]
Bt()
Get the entire Brownian path.double
dB(int i)
Get the Brownian increment at the i-th time point.double[]
dBt()
Get all the Brownian increments.double[]
dt()
Get all the time increments.double
dt(int i)
Get the i-th time increment.int
size()
Get the length of the history.double
time(int i)
Get the i-th time point.double[]
times()
Get the entire time grid.
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Constructor Detail
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Filtration
public Filtration(UnivariateTimeSeries<Double,? extends UnivariateTimeSeries.Entry<Double>> Bt)
Construct aFiltration
from a Brownian path.- Parameters:
Bt
- a Brownian path
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Method Detail
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size
public int size()
Get the length of the history.- Returns:
- the length of the Brownian path
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B
public double B(int i)
Get the Brownian motion value at the i-th time point.- Parameters:
i
- a time index, counting from 0- Returns:
- \(B_{t_i}\) the Brownian motion value at the i-th time point
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Bt
public double[] Bt()
Get the entire Brownian path.- Returns:
- the entire Brownian path
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dB
public double dB(int i)
Get the Brownian increment at the i-th time point.dB[i] = B[i+1] - B[i]
- Parameters:
i
- a time index, counting from 0- Returns:
- \(dB_{t_i}\)
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dBt
public double[] dBt()
Get all the Brownian increments.- Returns:
- the Brownian increments
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time
public double time(int i)
Get the i-th time point.- Parameters:
i
- a time index- Returns:
- the i-th time point
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times
public double[] times()
Get the entire time grid.- Returns:
- the times
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dt
public double dt(int i)
Get the i-th time increment.dt[i] = t[i+1] - t[i]
- Parameters:
i
- a time index, counting from 0- Returns:
- dt the i-th time increment
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dt
public double[] dt()
Get all the time increments.- Returns:
- the time increments
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