Class MultivariateBrownianSDE

  • 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.
    • Constructor Detail

      • MultivariateBrownianSDE

        public MultivariateBrownianSDE​(int d)
        Construct a standard multi-dimensional Brownian motion.
        Parameters:
        d - the dimension
      • MultivariateBrownianSDE

        public MultivariateBrownianSDE​(Vector mu,
                                       Matrix sigma)
        Construct a multi-dimensional Brownian motion.
        Parameters:
        mu - μ
        sigma - σ