Class IntegralExpectation


  • public class IntegralExpectation
    extends Object
    This class computes the expectation of the following class of integrals. \[ E(\int f(B_{t_i})dt) \]

    f is not necessarily an adapted function.

    The Brownian paths are generated by Monte Carlo simulations.

    • Constructor Detail

      • IntegralExpectation

        public IntegralExpectation​(Integral I,
                                   double t0,
                                   double t1,
                                   int n,
                                   int nSim,
                                   long seed)
        Compute the expectation for the integral of a stochastic process.
        Parameters:
        I - the integral of a stochastic process
        t0 - the beginning time of the integral time interval
        t1 - the ending time of the integral time interval
        n - the number of discretization in the integral time interval
        nSim - the number of simulations
        seed - a seed
      • IntegralExpectation

        public IntegralExpectation​(Integral I,
                                   double t0,
                                   double t1,
                                   int n,
                                   int nSim)
        Compute the expectation for the integral of a stochastic process.
        Parameters:
        I - the integral of a stochastic process
        t0 - the beginning time of the integral time interval
        t1 - the ending time of the integral time interval
        n - the number of discretization in the integral time interval
        nSim - the number of simulations
    • Method Detail

      • mean

        public double mean()
        Compute the mean of the integral.
        Returns:
        the mean of the integral
      • variance

        public double variance()
        Compute the variance of the integral.
        Returns:
        the variance of the integral