Package dev.nm.stat.stochasticprocess.univariate.sde

Class Ft

  • 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)

    • Constructor Summary

      Constructors 
      Constructor Description
      Ft()
      Construct an empty filtration (no information).
      Ft​(Ft that)
      Copy constructor.

    • Method Summary

      All Methods Instance Methods Concrete Methods 
      Modifier and Type Method Description
      Ft deepCopy()
      The implementation returns an instance created from this by the copy constructor of the class, or just this if the instance itself is immutable.
      double dt()
      Get the current time differential.
      double dWt()
      Get the increment of the driving Brownian motion during the time differential.
      void setDt​(double dt)
      Set the current time differential.
      void setXt​(double Xt)
      Set the current value of the stochastic process.
      void setZt​(double Zt)
      Set the current value of the Gaussian innovation.
      double Xt()
      Get the current value of the stochastic process.
      double Zt()
      Get the current value of the Gaussian innovation.

    • Constructor Detail

      • Ft

        public Ft()
        Construct an empty filtration (no information).

      • Ft

        public Ft​(Ft that)
        Copy constructor.
        Parameters:
        that - another Ft

    • Method Detail

      • deepCopy

        public Ft deepCopy()
        Description copied from interface: DeepCopyable
        The implementation returns an instance created from this by the copy constructor of the class, or just this if the instance itself is immutable.
        Specified by:
        deepCopy in interface DeepCopyable
        Returns:
        an independent (deep) copy of the instance

      • setDt

        public void setDt​(double dt)
        Set the current time differential.
        Parameters:
        dt - the time differential

      • dt

        public double dt()
        Get the current time differential.
        Returns:
        the time differential

      • setXt

        public void setXt​(double Xt)
        Set the current value of the stochastic process.
        Parameters:
        Xt - the current value of the stochastic process

      • Xt

        public double Xt()
        Get the current value of the stochastic process.
        Returns:
        the current value of the stochastic process

      • setZt

        public void setZt​(double Zt)
        Set the current value of the Gaussian innovation.
        Parameters:
        Zt - the current Gaussian innovation

      • Zt

        public double Zt()
        Get the current value of the Gaussian innovation.
        Returns:
        the current Gaussian innovation

      • 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