Class MultivariateSDE


  • public class MultivariateSDE
    extends Object
    This class represents a multi-dimensional, continuous-time Stochastic Differential Equation (SDE) of this form: \[ dX_t = \mu(t,X_t,Z_t,...)*dt + \sigma(t, X_t, Z_t, ...)*dB_t \]
    • Constructor Detail

      • MultivariateSDE

        public MultivariateSDE​(DriftVector mu,
                               DiffusionMatrix sigma,
                               int nB)
        Construct a multi-dimensional diffusion type stochastic differential equation.
        Parameters:
        mu - the drift
        sigma - the diffusion matrix
        nB - the number of independent driving Brownian motions
    • Method Detail

      • getFt

        public MultivariateFt getFt()
        Get an empty filtration of the process.
        Returns:
        an empty filtration
      • dimension

        public int dimension()
        Get the dimension of the process.
        Returns:
        the dimension of the process
      • nB

        public int nB()
        Get the number of driving Brownian motions.
        Returns:
        the number of driving Brownian motions
      • mu

        public DriftVector mu()
        Get the drift: \(\mu(t,X_t,Z_t,...)\).
        Returns:
        the drift
      • sigma

        public DiffusionMatrix sigma()
        Get the diffusion matrix: \(\sigma(t, X_t, Z_t, ...)\).
        Returns:
        the diffusion matrix