Interface DiffusionMatrix
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- All Known Implementing Classes:
ConstantSigma1
,ConstantSigma2
,DiffusionSigma
public interface DiffusionMatrix
The diffusion term, σ, of an SDE takes this form: σ(dt, Xt, Zt, ...).
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Method Summary
All Methods Instance Methods Abstract Methods Modifier and Type Method Description int
dimension()
Get the dimension of the process.Matrix
evaluate(MultivariateFt ft)
Evaluate the diffusion matrix, σ(dt, Xt, Zt, ...), with respect to a filtration.int
nB()
Get the number of independent Brownian motions.
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Method Detail
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evaluate
Matrix evaluate(MultivariateFt ft)
Evaluate the diffusion matrix, σ(dt, Xt, Zt, ...), with respect to a filtration.- Parameters:
ft
- a filtration- Returns:
- the diffusion matrix
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dimension
int dimension()
Get the dimension of the process. This is the same as the the number of rows in the diffusion matrix.- Returns:
- the dimension of the process
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nB
int nB()
Get the number of independent Brownian motions. This is the same as the number of columns in the diffusion matrix.- Returns:
- the number of independent Brownian motions
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