Class Filtration


  • public class Filtration
    extends Object
    This class represents the filtration information known at the end of time. It contains all histories about a simulation.
    • Method Detail

      • size

        public int size()
        Get the length of the history.
        Returns:
        the length of the Brownian path
      • B

        public double B​(int i)
        Get the Brownian motion value at the i-th time point.
        Parameters:
        i - a time index, counting from 0
        Returns:
        \(B_{t_i}\) the Brownian motion value at the i-th time point
      • Bt

        public double[] Bt()
        Get the entire Brownian path.
        Returns:
        the entire Brownian path
      • dB

        public double dB​(int i)
        Get the Brownian increment at the i-th time point.
        dB[i] = B[i+1] - B[i]
        Parameters:
        i - a time index, counting from 0
        Returns:
        \(dB_{t_i}\)
      • dBt

        public double[] dBt()
        Get all the Brownian increments.
        Returns:
        the Brownian increments
      • time

        public double time​(int i)
        Get the i-th time point.
        Parameters:
        i - a time index
        Returns:
        the i-th time point
      • times

        public double[] times()
        Get the entire time grid.
        Returns:
        the times
      • dt

        public double dt​(int i)
        Get the i-th time increment.
        dt[i] = t[i+1] - t[i]
        Parameters:
        i - a time index, counting from 0
        Returns:
        dt the i-th time increment
      • dt

        public double[] dt()
        Get all the time increments.
        Returns:
        the time increments