Package dev.nm.stat.stochasticprocess.univariate.filtration

Class FiltrationFunction

java.lang.Object

dev.nm.analysis.function.rn2r1.AbstractRealScalarFunction

dev.nm.analysis.function.rn2r1.univariate.AbstractUnivariateRealFunction

dev.nm.stat.stochasticprocess.univariate.filtration.FiltrationFunction

All Implemented Interfaces:

Function<Vector,Double>, RealScalarFunction, UnivariateRealFunction

Direct Known Subclasses:

Bt, F_Sum_BtDt, F_Sum_tBtDt

public abstract class FiltrationFunction
extends AbstractUnivariateRealFunction

A filtration function, parameterized by a fixed filtration, is a function of time, \(f(\mathfrak{F_{t_i}})\). The function is not necessarily adapted.

Nested Class Summary

Nested classes/interfaces inherited from interface dev.nm.analysis.function.Function

Function.EvaluationException

Constructor Summary

Constructors

Constructor	Description
FiltrationFunction()

Method Summary

Modifier and Type	Method	Description
double	evaluate(double i)	Evaluate y = f(x).
abstract double	evaluate(int i)	Compute the function value at the i-th time point, \(f(\mathfrak{F_{t_i}})\).
double[]	Ft()	Compute all function values at all time points.
Filtration	getFt()	Get the filtration.
void	setFt(Filtration Ft)	Set the filtration for this function.

Methods inherited from class dev.nm.analysis.function.rn2r1.univariate.AbstractUnivariateRealFunction

evaluate

Methods inherited from class dev.nm.analysis.function.rn2r1.AbstractRealScalarFunction

dimensionOfDomain, dimensionOfRange

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface dev.nm.analysis.function.Function

dimensionOfDomain, dimensionOfRange

Constructor Details

FiltrationFunction

public FiltrationFunction()

Method Details

evaluate

public abstract double evaluate(int i)

Compute the function value at the i-th time point, \(f(\mathfrak{F_{t_i}})\).

Parameters:

i - the index to time

Returns:

\(f(\mathfrak{F_{t_i}})\)

setFt

public void setFt(Filtration Ft)

Set the filtration for this function.

This function is called for each call to integrate before doing the integration.

Parameters:

Ft - a filtration

getFt

public Filtration getFt()

Get the filtration.

Returns:

the filtration

Ft

public double[] Ft()

Compute all function values at all time points.

Returns:

\(f(\mathfrak{F_{t_i}})\), at all time points

evaluate

public double evaluate(double i)

Description copied from interface: UnivariateRealFunction

Evaluate y = f(x).

Parameters:

i - x

Returns:

f(x)