Class Ft
- java.lang.Object
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- dev.nm.stat.stochasticprocess.univariate.sde.Ft
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- All Implemented Interfaces:
DeepCopyable
- Direct Known Subclasses:
FtWt
public class Ft 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)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description FtdeepCopy()The implementation returns an instance created fromthisby the copy constructor of the class, or justthisif the instance itself is immutable.doubledt()Get the current time differential.doubledWt()Get the increment of the driving Brownian motion during the time differential.voidsetDt(double dt)Set the current time differential.voidsetXt(double Xt)Set the current value of the stochastic process.voidsetZt(double Zt)Set the current value of the Gaussian innovation.doubleXt()Get the current value of the stochastic process.doubleZt()Get the current value of the Gaussian innovation.
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Constructor Detail
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Ft
public Ft()
Construct an empty filtration (no information).
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Ft
public Ft(Ft that)
Copy constructor.- Parameters:
that- anotherFt
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Method Detail
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deepCopy
public Ft deepCopy()
Description copied from interface:DeepCopyableThe implementation returns an instance created fromthisby the copy constructor of the class, or justthisif the instance itself is immutable.- Specified by:
deepCopyin interfaceDeepCopyable- Returns:
- an independent (deep) copy of the instance
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setDt
public void setDt(double dt)
Set the current time differential.- Parameters:
dt- the time differential
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dt
public double dt()
Get the current time differential.- Returns:
- the time differential
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setXt
public void setXt(double Xt)
Set the current value of the stochastic process.- Parameters:
Xt- the current value of the stochastic process
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Xt
public double Xt()
Get the current value of the stochastic process.- Returns:
- the current value of the stochastic process
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setZt
public void setZt(double Zt)
Set the current value of the Gaussian innovation.- Parameters:
Zt- the current Gaussian innovation
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Zt
public double Zt()
Get the current value of the Gaussian innovation.- Returns:
- the current Gaussian innovation
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dWt
public double 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
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