Class BMSDE

  • All Implemented Interfaces:
    DiscreteSDE

    public class BMSDE
    extends Object
    implements DiscreteSDE
    A 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 normally distributed with mean 0 and variance (t - s).
    • Constructor Detail

      • BMSDE

        public BMSDE​(double mu,
                     double sigma)
        Construct a univariate Brownian motion.
        Parameters:
        mu - μ, the drift
        sigma - σ, the diffusion constant
      • BMSDE

        public BMSDE()
        Construct a univariate standard Brownian motion.
    • Method Detail

      • dXt

        public double dXt​(Ft ft)
        Description copied from interface: DiscreteSDE
        This is the SDE specification of a stochastic process.
        Specified by:
        dXt in interface DiscreteSDE
        Parameters:
        ft - filtration
        Returns:
        the increment of the process in dt
      • getNewFt

        public Ft getNewFt()
        Description copied from interface: DiscreteSDE
        Get an empty filtration of the process.
        Specified by:
        getNewFt in interface DiscreteSDE
        Returns:
        an empty filtration