java.lang.Object
dev.nm.stat.stochasticprocess.univariate.random.RandomProcess
dev.nm.stat.stochasticprocess.univariate.random.RandomWalk
All Implemented Interfaces:
RandomNumberGenerator, Seedable

public class RandomWalk extends RandomProcess
This is the Random Walk construction of a stochastic process per SDE specification.
  • Constructor Details

    • RandomWalk

      public RandomWalk(DiscreteSDE sde, TimeGrid timeGrid, double x0)
      Constructs a univariate stochastic process from an SDE.
      Parameters:
      sde - a discrete SDE
      timeGrid - specifying the time points in a grid
      x0 - the initial value of the process
    • RandomWalk

      public RandomWalk(DiscreteSDE sde, double dt, double x0)
      Constructs a univariate stochastic process from an SDE.
      Parameters:
      sde - a discrete SDE
      dt - the grid space for a uniform time grid
      x0 - the initial value of the process
  • Method Details

    • seed

      public void seed(long... seeds)
      Description copied from interface: Seedable
      Seed the random number/vector/scenario generator to produce repeatable experiments.
      Specified by:
      seed in interface Seedable
      Overrides:
      seed in class RandomProcess
      Parameters:
      seeds - the seeds
    • nextDouble

      public double nextDouble()
      Description copied from interface: RandomNumberGenerator
      Get the next random double.
      Returns:
      the next random number