Class ConstantSigma1
- java.lang.Object
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- dev.nm.stat.stochasticprocess.multivariate.sde.coefficients.ConstantSigma1
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- All Implemented Interfaces:
DiffusionMatrix
public class ConstantSigma1 extends Object implements DiffusionMatrix
The class represents a constant diffusion coefficient function.
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Constructor Summary
Constructors Constructor Description ConstantSigma1(Matrix sigma)Construct a constant diffusion coefficient function.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description intdimension()Get the dimension of the process.Matrixevaluate(MultivariateFt ft)Evaluate the diffusion matrix, σ(dt, Xt, Zt, ...), with respect to a filtration.intnB()Get the number of independent Brownian motions.
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Constructor Detail
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ConstantSigma1
public ConstantSigma1(Matrix sigma)
Construct a constant diffusion coefficient function.- Parameters:
sigma- the constant diffusion matrix
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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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dimension
public int dimension()
Description copied from interface:DiffusionMatrixGet the dimension of the process. This is the same as the the number of rows in the diffusion matrix.- Specified by:
dimensionin interfaceDiffusionMatrix- Returns:
- the dimension of the process
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nB
public int nB()
Description copied from interface:DiffusionMatrixGet the number of independent Brownian motions. This is the same as the number of columns in the diffusion matrix.- Specified by:
nBin interfaceDiffusionMatrix- Returns:
- the number of independent Brownian motions
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