Interface DiffusionMatrix
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- All Known Implementing Classes:
ConstantSigma1,ConstantSigma2,DiffusionSigma
public interface DiffusionMatrixThe 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 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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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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