Class MultivariateSDE
- java.lang.Object
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- dev.nm.stat.stochasticprocess.multivariate.sde.MultivariateSDE
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public class MultivariateSDE extends Object
This class represents a multi-dimensional, continuous-time Stochastic Differential Equation (SDE) of this form: \[ dX_t = \mu(t,X_t,Z_t,...)*dt + \sigma(t, X_t, Z_t, ...)*dB_t \]
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Constructor Summary
Constructors Constructor Description MultivariateSDE(DriftVector mu, DiffusionMatrix sigma, int nB)Construct a multi-dimensional diffusion type stochastic differential equation.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description intdimension()Get the dimension of the process.MultivariateFtgetFt()Get an empty filtration of the process.DriftVectormu()Get the drift: \(\mu(t,X_t,Z_t,...)\).intnB()Get the number of driving Brownian motions.DiffusionMatrixsigma()Get the diffusion matrix: \(\sigma(t, X_t, Z_t, ...)\).
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Constructor Detail
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MultivariateSDE
public MultivariateSDE(DriftVector mu, DiffusionMatrix sigma, int nB)
Construct a multi-dimensional diffusion type stochastic differential equation.- Parameters:
mu- the driftsigma- the diffusion matrixnB- the number of independent driving Brownian motions
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Method Detail
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getFt
public MultivariateFt getFt()
Get an empty filtration of the process.- Returns:
- an empty filtration
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dimension
public int dimension()
Get the dimension of the process.- Returns:
- the dimension of the process
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nB
public int nB()
Get the number of driving Brownian motions.- Returns:
- the number of driving Brownian motions
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mu
public DriftVector mu()
Get the drift: \(\mu(t,X_t,Z_t,...)\).- Returns:
- the drift
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sigma
public DiffusionMatrix sigma()
Get the diffusion matrix: \(\sigma(t, X_t, Z_t, ...)\).- Returns:
- the diffusion matrix
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