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

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

All Implemented Interfaces:

Diffusion

Direct Known Subclasses:

ConstantSigma2

public abstract class Sigma
extends java.lang.Object
implements Diffusion

This class provides an implementation of the diffusion coefficients in the form of a diffusion matrix. Each matrix element is an F_t adapted function.

Constructor Summary

Sigma()

Method Summary

Matrix	evaluate(Ft ft) σ(dt, Xt, Zt, ...)
abstract FtAdaptedRealFunction	sigma_i_j(int i, int j) Get the Ft adapted function D[i,j] element in the diffusion matrix.

Methods inherited from class java.lang.Object

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

Methods inherited from interface com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde.coefficients.Diffusion

ncols, nrows

Constructor Detail

Sigma

public Sigma()

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

sigma_i_j

public abstract FtAdaptedRealFunction sigma_i_j(int i,
                                                int j)

Get the F_t adapted function D[i,j] element in the diffusion matrix.

Parameters:

i - the row index

j - the column index

Returns:

D[i,j]