Class MultivariateRandomWalk

    • Constructor Detail

      • MultivariateRandomWalk

        public MultivariateRandomWalk​(MultivariateDiscreteSDE sde,
                                      TimeGrid timeGrid,
                                      Vector x0)
        Construct a multivariate stochastic process from an SDE.
        Parameters:
        sde - a discrete SDE
        timeGrid - specifying the time points in a grid
        x0 - the initial value of the process
    • Method Detail

      • seed

        public void seed​(long... seeds)
        Description copied from interface: Seedable
        Seed the random number/vector/scenario generator to produce repeatable experiments.
        Specified by:
        seed in interface Seedable
        Overrides:
        seed in class MultivariateRandomProcess
        Parameters:
        seeds - the seeds
      • nextVector

        public double[] nextVector()
        Description copied from interface: RandomVectorGenerator
        Gets the next random vector.
        Returns:
        the next random vector