java.lang.Object
dev.nm.stat.stochasticprocess.univariate.filtration.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.
  • Constructor Summary

    Constructors
    Constructor
    Description
    Construct a Filtration from a Brownian path.
  • Method Summary

    Modifier and Type
    Method
    Description
    double
    B(int i)
    Get the Brownian motion value at the i-th time point.
    double[]
    Bt()
    Get the entire Brownian path.
    double
    dB(int i)
    Get the Brownian increment at the i-th time point.
    double[]
    dBt()
    Get all the Brownian increments.
    double[]
    dt()
    Get all the time increments.
    double
    dt(int i)
    Get the i-th time increment.
    int
    Get the length of the history.
    double
    time(int i)
    Get the i-th time point.
    double[]
    Get the entire time grid.

    Methods inherited from class java.lang.Object

    clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
  • Constructor Details

  • Method Details

    • 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