Class MultivariateFtWt
- java.lang.Object
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- dev.nm.stat.stochasticprocess.multivariate.sde.MultivariateFt
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- dev.nm.stat.stochasticprocess.multivariate.sde.MultivariateFtWt
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- All Implemented Interfaces:
DeepCopyable
public class MultivariateFtWt extends MultivariateFt
This is a filtration implementation that includes the path-dependent information, Wt.- See Also:
MultivariateFt
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Constructor Summary
Constructors Constructor Description MultivariateFtWt()Construct an empty filtration (no information).MultivariateFtWt(MultivariateFtWt that)Copy constructor.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description MultivariateFtWtdeepCopy()The implementation returns an instance created fromthisby the copy constructor of the class, or justthisif the instance itself is immutable.voidsetDt(double dt)Set the current time differential.voidsetZt(Vector Zt)Set the current value of the Gaussian innovation.doublet()Get the current time.VectorWt()Get the current value(s) of the driving Brownian motion(s).
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Constructor Detail
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MultivariateFtWt
public MultivariateFtWt()
Construct an empty filtration (no information).
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MultivariateFtWt
public MultivariateFtWt(MultivariateFtWt that)
Copy constructor.- Parameters:
that- another Ft
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Method Detail
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deepCopy
public MultivariateFtWt deepCopy()
Description copied from interface:DeepCopyableThe implementation returns an instance created fromthisby the copy constructor of the class, or justthisif the instance itself is immutable.- Specified by:
deepCopyin interfaceDeepCopyable- Overrides:
deepCopyin classMultivariateFt- Returns:
- an independent (deep) copy of the instance
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t
public double t()
Get the current time.- Returns:
- the current time
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Wt
public Vector Wt()
Get the current value(s) of the driving Brownian motion(s).- Returns:
- the current value(s) of the driving Brownian motion(s)
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setDt
public void setDt(double dt)
Description copied from class:MultivariateFtSet the current time differential.- Overrides:
setDtin classMultivariateFt- Parameters:
dt- the time differential
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setZt
public void setZt(Vector Zt)
Description copied from class:MultivariateFtSet the current value of the Gaussian innovation.- Overrides:
setZtin classMultivariateFt- Parameters:
Zt- the current Gaussian innovation
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