Class BMSDE
- java.lang.Object
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- dev.nm.stat.stochasticprocess.univariate.sde.discrete.BMSDE
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- All Implemented Interfaces:
DiscreteSDE
public class BMSDE extends Object implements DiscreteSDE
A Brownian motion is a stochastic process with the following properties.- B(0) = 0;
- B(t), t ≥ 0, are continuous functions of t;
- the increments, B(t) - B(s), t > s, are independent of the past;
- the increments, B(t) - B(s), are normally distributed with mean 0 and variance (t - s).
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
dXt(Ft ft)
This is the SDE specification of a stochastic process.Ft
getNewFt()
Get an empty filtration of the process.
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Method Detail
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dXt
public double dXt(Ft ft)
Description copied from interface:DiscreteSDE
This is the SDE specification of a stochastic process.- Specified by:
dXt
in interfaceDiscreteSDE
- Parameters:
ft
- filtration- Returns:
- the increment of the process in dt
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getNewFt
public Ft getNewFt()
Description copied from interface:DiscreteSDE
Get an empty filtration of the process.- Specified by:
getNewFt
in interfaceDiscreteSDE
- Returns:
- an empty filtration
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