Class MultivariateRandomRealizationOfRandomProcess

    • Constructor Detail

      • MultivariateRandomRealizationOfRandomProcess

        public MultivariateRandomRealizationOfRandomProcess​(MultivariateRandomProcess process,
                                                            int size,
                                                            RandomLongGenerator uniform)
        Construct a random realization generator from a multivariate random/stochastic process.
        Parameters:
        process - a random process
        size - the size of the realizations
        uniform - a uniform random number generator
      • MultivariateRandomRealizationOfRandomProcess

        public MultivariateRandomRealizationOfRandomProcess​(MultivariateDiscreteSDE sde,
                                                            TimeGrid timeGrid,
                                                            Vector x0)
        Construct a random realization generator from a multivariate discrete SDE.
        Parameters:
        sde - a discrete approximation of an SDE
        timeGrid - specifying the time points in a grid
        x0 - the initial value of the process
      • MultivariateRandomRealizationOfRandomProcess

        public MultivariateRandomRealizationOfRandomProcess​(MultivariateSDE sde,
                                                            TimeGrid timeGrid,
                                                            Vector x0)
        Construct a random realization generator from a multivariate SDE.
        Parameters:
        sde - a continuous time SDE
        timeGrid - specifying the time points in a grid
        x0 - the initial value of the process
      • MultivariateRandomRealizationOfRandomProcess

        public MultivariateRandomRealizationOfRandomProcess​(MultivariateSDE sde,
                                                            int size)
        Construct a random realization generator from a multivariate SDE.
        Parameters:
        sde - a continuous time SDE
        size - the size of the realizations