Package dev.nm.stat.stochasticprocess.univariate.random

Class RandomWalk

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 Summary

Constructors

Constructor	Description
RandomWalk(DiscreteSDE sde, double dt, double x0)	Constructs a univariate stochastic process from an SDE.
RandomWalk(DiscreteSDE sde, TimeGrid timeGrid, double x0)	Constructs a univariate stochastic process from an SDE.

Method Summary

Modifier and Type	Method	Description
double	nextDouble()	Get the next random double.
void	seed(long... seeds)	Seed the random number/vector/scenario generator to produce repeatable experiments.

Methods inherited from class dev.nm.stat.stochasticprocess.univariate.random.RandomProcess

dB, nextTime, time, Zt

Methods inherited from class java.lang.Object

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

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