Class MultivariateBrownianSDE
- java.lang.Object
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- dev.nm.stat.stochasticprocess.multivariate.sde.discrete.MultivariateBrownianSDE
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- All Implemented Interfaces:
MultivariateDiscreteSDE
public class MultivariateBrownianSDE extends Object implements MultivariateDiscreteSDE
A multivariate Brownian motion is a stochastic process with the following properties.- B(0) = 0;
- B(t), t >= 0, are continuous functions of t;
- the increments, B(t) - B(s), t > s, are independent of the past;
- the increments, B(t) - B(s), are (correlated) multi- normally distributed with mean 0.
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Constructor Summary
Constructors Constructor Description MultivariateBrownianSDE(int d)
Construct a standard multi-dimensional Brownian motion.MultivariateBrownianSDE(Vector mu, Matrix sigma)
Construct a multi-dimensional Brownian motion.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description Vector
dXt(MultivariateFt ft)
This is the SDE specification of a stochastic process.MultivariateFt
getNewFt()
Get an empty filtration of the process.int
nB()
Get the number of independent driving Brownian motions.
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Method Detail
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dXt
public Vector dXt(MultivariateFt ft)
Description copied from interface:MultivariateDiscreteSDE
This is the SDE specification of a stochastic process.- Specified by:
dXt
in interfaceMultivariateDiscreteSDE
- Parameters:
ft
- filtration- Returns:
- the increment of the process in dt
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nB
public int nB()
Description copied from interface:MultivariateDiscreteSDE
Get the number of independent driving Brownian motions.- Specified by:
nB
in interfaceMultivariateDiscreteSDE
- Returns:
- the number of independent driving Brownian motions
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getNewFt
public MultivariateFt getNewFt()
Description copied from interface:MultivariateDiscreteSDE
Get an empty filtration of the process.- Specified by:
getNewFt
in interfaceMultivariateDiscreteSDE
- Returns:
- an empty filtration
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