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 int
dimension()
Get the dimension of the process.MultivariateFt
getFt()
Get an empty filtration of the process.DriftVector
mu()
Get the drift: \(\mu(t,X_t,Z_t,...)\).int
nB()
Get the number of driving Brownian motions.DiffusionMatrix
sigma()
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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