Class MultivariateFt

  • All Implemented Interfaces:
    DeepCopyable
    Direct Known Subclasses:
    MultivariateFtWt

    public class MultivariateFt
    extends Object
    implements DeepCopyable
    This represents the concept 'Filtration', the information available at time t.

    The information may include (subject to implementation), for example,

    • time
    • value of the stochastic process
    • values of the driving Brownian motion(s)
    • Method Summary

      All Methods Instance Methods Concrete Methods 
      Modifier and Type Method Description
      MultivariateFt deepCopy()
      The implementation returns an instance created from this by the copy constructor of the class, or just this if the instance itself is immutable.
      int dim()
      Get the dimension of the process.
      double dt()
      Get the current time differential.
      Vector dWt()
      Get the increment of the driving Brownian motion during the time differential.
      int nB()
      Get the number of independent driving Brownian motions.
      void setDt​(double dt)
      Set the current time differential.
      void setXt​(Vector Xt)
      Set the current value of the stochastic process.
      void setZt​(Vector Zt)
      Set the current value of the Gaussian innovation.
      Vector Xt()
      Get the current value of the stochastic process.
      Vector Zt()
      Get the current value of the Gaussian innovation.
    • Constructor Detail

      • MultivariateFt

        public MultivariateFt()
        Construct an empty filtration (no information).
      • MultivariateFt

        public MultivariateFt​(MultivariateFt that)
        Copy constructor.
        Parameters:
        that - another Ft
    • Method Detail

      • deepCopy

        public MultivariateFt deepCopy()
        Description copied from interface: DeepCopyable
        The implementation returns an instance created from this by the copy constructor of the class, or just this if the instance itself is immutable.
        Specified by:
        deepCopy in interface DeepCopyable
        Returns:
        an independent (deep) copy of the instance
      • dim

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

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

        public void setDt​(double dt)
        Set the current time differential.
        Parameters:
        dt - the time differential
      • dt

        public double dt()
        Get the current time differential.
        Returns:
        the time differential
      • setXt

        public void setXt​(Vector Xt)
        Set the current value of the stochastic process.
        Parameters:
        Xt - the current value of the stochastic process
      • Xt

        public Vector Xt()
        Get the current value of the stochastic process.
        Returns:
        the current value of the stochastic process
      • setZt

        public void setZt​(Vector Zt)
        Set the current value of the Gaussian innovation.
        Parameters:
        Zt - the current Gaussian innovation
      • Zt

        public Vector Zt()
        Get the current value of the Gaussian innovation.
        Returns:
        the current Gaussian innovation
      • dWt

        public Vector dWt()
        Get the increment of the driving Brownian motion during the time differential. This is the product of the Gaussian innovation and the square root of the time differential.
        Returns:
        the increment of the driving Brownian motion during the time differential