Uses of Class
dev.nm.stat.stochasticprocess.multivariate.sde.MultivariateFt
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Uses of MultivariateFt in dev.nm.stat.stochasticprocess.multivariate.sde
Subclasses of MultivariateFt in dev.nm.stat.stochasticprocess.multivariate.sde Modifier and Type Class Description class
MultivariateFtWt
This is a filtration implementation that includes the path-dependent information, Wt.Methods in dev.nm.stat.stochasticprocess.multivariate.sde that return MultivariateFt Modifier and Type Method Description MultivariateFt
MultivariateFt. deepCopy()
MultivariateFt
MultivariateSDE. getFt()
Get an empty filtration of the process.Methods in dev.nm.stat.stochasticprocess.multivariate.sde with parameters of type MultivariateFt Modifier and Type Method Description double
FtAdaptedRealFunction. evaluate(MultivariateFt ft)
Evaluate this function, f, at time t.Vector
FtAdaptedVectorFunction. evaluate(MultivariateFt ft)
Evaluate this function, f, at time t.Constructors in dev.nm.stat.stochasticprocess.multivariate.sde with parameters of type MultivariateFt Constructor Description MultivariateFt(MultivariateFt that)
Copy constructor. -
Uses of MultivariateFt in dev.nm.stat.stochasticprocess.multivariate.sde.coefficients
Methods in dev.nm.stat.stochasticprocess.multivariate.sde.coefficients with parameters of type MultivariateFt Modifier and Type Method Description Vector
ConstantDriftVector. evaluate(MultivariateFt ft)
Matrix
ConstantSigma1. evaluate(MultivariateFt ft)
Matrix
DiffusionMatrix. evaluate(MultivariateFt ft)
Evaluate the diffusion matrix, σ(dt, Xt, Zt, ...), with respect to a filtration.Matrix
DiffusionSigma. evaluate(MultivariateFt ft)
Vector
ZeroDriftVector. evaluate(MultivariateFt ft)
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Uses of MultivariateFt in dev.nm.stat.stochasticprocess.multivariate.sde.discrete
Methods in dev.nm.stat.stochasticprocess.multivariate.sde.discrete that return MultivariateFt Modifier and Type Method Description MultivariateFt
MultivariateBrownianSDE. getNewFt()
MultivariateFt
MultivariateDiscreteSDE. getNewFt()
Get an empty filtration of the process.MultivariateFt
MultivariateEulerSDE. getNewFt()
Methods in dev.nm.stat.stochasticprocess.multivariate.sde.discrete with parameters of type MultivariateFt Modifier and Type Method Description Vector
MultivariateBrownianSDE. dXt(MultivariateFt ft)
Vector
MultivariateDiscreteSDE. dXt(MultivariateFt ft)
This is the SDE specification of a stochastic process.Vector
MultivariateEulerSDE. dXt(MultivariateFt ft)
This is the SDE specification of a stochastic process.
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