Class IntegralExpectation
- java.lang.Object
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- dev.nm.stat.stochasticprocess.univariate.integration.IntegralExpectation
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public class IntegralExpectation extends Object
This class computes the expectation of the following class of integrals. \[ E(\int f(B_{t_i})dt) \] f is not necessarily an adapted function. The Brownian paths are generated by Monte Carlo simulations.
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Constructor Summary
Constructors Constructor Description IntegralExpectation(Integral I, double t0, double t1, int n, int nSim)
Compute the expectation for the integral of a stochastic process.IntegralExpectation(Integral I, double t0, double t1, int n, int nSim, long seed)
Compute the expectation for the integral of a stochastic process.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
mean()
Compute the mean of the integral.double
variance()
Compute the variance of the integral.
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Constructor Detail
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IntegralExpectation
public IntegralExpectation(Integral I, double t0, double t1, int n, int nSim, long seed)
Compute the expectation for the integral of a stochastic process.- Parameters:
I
- the integral of a stochastic processt0
- the beginning time of the integral time intervalt1
- the ending time of the integral time intervaln
- the number of discretization in the integral time intervalnSim
- the number of simulationsseed
- a seed
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IntegralExpectation
public IntegralExpectation(Integral I, double t0, double t1, int n, int nSim)
Compute the expectation for the integral of a stochastic process.- Parameters:
I
- the integral of a stochastic processt0
- the beginning time of the integral time intervalt1
- the ending time of the integral time intervaln
- the number of discretization in the integral time intervalnSim
- the number of simulations
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