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

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

Direct Known Subclasses:

Bessel

public class SDE
extends java.lang.Object

This class represents a multi-dimensional, continuous-time, Stochastic Differential Equation (SDE) of this form: dX(t) = μ(t, Xt, Zt, ...) * dt + σ(t, Xt, Zt, ...) * dB(t).

Field Summary

Drift	mu the drift μ(t, Xt, Zt, ...)
int	nB number of independent driving Brownian motions
Diffusion	sigma the diffusion matrix σ(t, Xt, Zt, ...)

Constructor Summary

SDE(Drift mu, Diffusion sigma, int nB)
Construct a multi-dimensional diffusion type stochastic differential equation.

Method Summary

Ft	getFt() Get an empty filtration for the process.

Methods inherited from class java.lang.Object

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

Field Detail

mu

public final Drift mu

the drift

 μ(t, Xt, Zt, ...)
 

sigma

public final Diffusion sigma

the diffusion matrix

 σ(t, Xt, Zt, ...)
 

nB

public final int nB

number of independent driving Brownian motions

Constructor Detail

SDE

public SDE(Drift mu,
           Diffusion sigma,
           int nB)

Construct a multi-dimensional diffusion type stochastic differential equation.

Parameters:

mu - the drift

sigma - the diffusion matrix

nB - number of independent driving Brownian motions

Method Detail

getFt

public Ft getFt()

Get an empty filtration for the process.

Returns:

an empty filtration