Class ConstantSigma1
- java.lang.Object
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- dev.nm.stat.stochasticprocess.multivariate.sde.coefficients.ConstantSigma1
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- All Implemented Interfaces:
DiffusionMatrix
public class ConstantSigma1 extends Object implements DiffusionMatrix
The class represents a constant diffusion coefficient function.
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Constructor Summary
Constructors Constructor Description ConstantSigma1(Matrix sigma)
Construct a constant diffusion coefficient function.
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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.Matrix
evaluate(MultivariateFt ft)
Evaluate the diffusion matrix, σ(dt, Xt, Zt, ...), with respect to a filtration.int
nB()
Get the number of independent Brownian motions.
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Constructor Detail
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ConstantSigma1
public ConstantSigma1(Matrix sigma)
Construct a constant diffusion coefficient function.- Parameters:
sigma
- the constant diffusion matrix
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Method Detail
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evaluate
public Matrix evaluate(MultivariateFt ft)
Description copied from interface:DiffusionMatrix
Evaluate the diffusion matrix, σ(dt, Xt, Zt, ...), with respect to a filtration.- Specified by:
evaluate
in interfaceDiffusionMatrix
- Parameters:
ft
- a filtration- Returns:
- the diffusion matrix
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dimension
public int dimension()
Description copied from interface:DiffusionMatrix
Get the dimension of the process. This is the same as the the number of rows in the diffusion matrix.- Specified by:
dimension
in interfaceDiffusionMatrix
- Returns:
- the dimension of the process
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nB
public int nB()
Description copied from interface:DiffusionMatrix
Get the number of independent Brownian motions. This is the same as the number of columns in the diffusion matrix.- Specified by:
nB
in interfaceDiffusionMatrix
- Returns:
- the number of independent Brownian motions
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