com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde.coefficients
Class ConstantDrift

java.lang.Object
  com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde.coefficients.ConstantDrift

All Implemented Interfaces:

Drift, FtAdaptedVectorFunction

public class ConstantDrift
extends java.lang.Object
implements Drift

The class represents a constant drift function.

Field Summary

Vector

mu the drift

Constructor Summary

ConstantDrift(Vector mu)
Construct a constant drift function.

Method Summary

Vector

evaluate(Ft ft) Evaluate this function, f, at time t.

Methods inherited from class java.lang.Object

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

Field Detail

mu

public final Vector mu

the drift

Constructor Detail

ConstantDrift

public ConstantDrift(Vector mu)

Construct a constant drift function.

Parameters:

mu - the drift

Method Detail

evaluate

public Vector evaluate(Ft ft)

Description copied from interface: FtAdaptedVectorFunction

Evaluate this function, f, at time t.

Specified by:

evaluate in interface FtAdaptedVectorFunction

Parameters:

ft - the filtration at time t

Returns:

f(t) = f(F_t)