com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.integration.sde
Class RandomWalk

java.lang.Object
  com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.integration.sde.RandomWalk

All Implemented Interfaces:

Construction

Direct Known Subclasses:

Euler

public class RandomWalk
extends java.lang.Object
implements Construction

This is the Random Walk construction of a stochastic process per SDE specification.

Given an SDE, we compute the increments of the stochastic process. A realization is the cumulative summation of these independent increments.

Nested Class Summary

class	RandomWalk.Iterator This iterates a deterministic realization (time series) of a multivariate stochastic process.
class	RandomWalk.MultiVariateRealization

Field Summary

DiscretizedSDE

sde the SDE specification, in discretized form

Constructor Summary

RandomWalk(DiscretizedSDE sde, TimeGrid timePoints)
Construct a multivariate stochastic process from an SDE.

Method Summary

RandomWalk.MultiVariateRealization	realization(Vector x0) Construct a realization of a stochastic process.
void	seed(long seed) Seed the construction process so that we may generate the same realizations.

Methods inherited from class java.lang.Object

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

Field Detail

sde

public final DiscretizedSDE sde

the SDE specification, in discretized form

Constructor Detail

RandomWalk

public RandomWalk(DiscretizedSDE sde,
                  TimeGrid timePoints)

Construct a multivariate stochastic process from an SDE. The realizations are generated by the Random Walk method.

Parameters:

sde - an SDE

timePoints - specifying the time points in a grid

Method Detail

realization

public RandomWalk.MultiVariateRealization realization(Vector x0)

Description copied from interface: Construction

Construct a realization of a stochastic process. The realization is a time series.

Specified by:

realization in interface Construction

Parameters:

x0 - the starting point of the trajectory

Returns:

a realization

seed

public void seed(long seed)

Description copied from interface: Construction

Seed the construction process so that we may generate the same realizations.

Specified by:

seed in interface Construction

Parameters:

seed - seeding the same seed gives arise to the same realization