com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde
Class Bessel

java.lang.Object
  com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde.SDE
      com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde.Bessel

public class Bessel
extends SDE

This implement the Bessel Process, sum of squared Brownian motions, using the multi-dimensional SDE.

See Also:

• "Fima C. Klebaner. Introduction to Stochastic Calculus with Applications. 2nd ed. Eq. 6.81. pp. 175. Imperial College Press. 2006."
• Wikipedia: Bessel process

Field Summary

int	d the number of independent driving Brownian motions

Fields inherited from class com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde.SDE

mu, nB, sigma

Constructor Summary

Bessel(int d)
Construct a Bessel process.

Method Summary

Methods inherited from class com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde.SDE

getFt

Methods inherited from class java.lang.Object

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

Field Detail

d

public final int d

the number of independent driving Brownian motions

Constructor Detail

Bessel

public Bessel(int d)

Construct a Bessel process.

Parameters:

d - the dimension