com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde.coefficients
Class ConstantSigma1

java.lang.Object
  com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde.coefficients.ConstantSigma1

All Implemented Interfaces:

Diffusion

public class ConstantSigma1
extends java.lang.Object
implements Diffusion

The class represents a constant diffusion coefficient function.

Constructor Summary

ConstantSigma1(Matrix sigma)
Construct a constant diffusion coefficient function.

Method Summary

Matrix	evaluate(Ft ft) σ(dt, Xt, Zt, ...)
int	ncols() Get the number of independent Brownian motions.
int	nrows() Get the dimension of the process.

Methods inherited from class java.lang.Object

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

Constructor Detail

ConstantSigma1

public ConstantSigma1(Matrix sigma)

Construct a constant diffusion coefficient function.

Parameters:

sigma - the constant diffusion matrix

Method Detail

evaluate

public Matrix evaluate(Ft ft)

Description copied from interface: Diffusion

σ(dt, Xt, Zt, ...)

Specified by:

evaluate in interface Diffusion

Parameters:

ft - filtration

Returns:

a diffusion matrix

nrows

public int nrows()

Description copied from interface: Diffusion

Get the dimension of the process.

Specified by:

nrows in interface Diffusion

Returns:

the number of rows in the diffusion matrix

ncols

public int ncols()

Description copied from interface: Diffusion

Get the number of independent Brownian motions.

Specified by:

ncols in interface Diffusion

Returns:

the number of columns in the diffusion matrix