com.numericalmethod.suanshu.stats.stochasticprocess.univariate.integration
Class Bt

java.lang.Object
  com.numericalmethod.suanshu.analysis.function.rn2r1.UnivariateRealFunction
      com.numericalmethod.suanshu.stats.stochasticprocess.univariate.integration.FiltrationFunction
          com.numericalmethod.suanshu.stats.stochasticprocess.univariate.integration.Bt

All Implemented Interfaces:

Function, RealScalarFunction

public class Bt
extends FiltrationFunction

This is a FiltrationFunction that returns B(t), the Brownian motion value at the t-th time point.

Nested Class Summary

Nested classes/interfaces inherited from interface com.numericalmethod.suanshu.analysis.function.Function

Function.EvaluationException

Field Summary

Fields inherited from class com.numericalmethod.suanshu.stats.stochasticprocess.univariate.integration.FiltrationFunction

FT

Constructor Summary

Bt()

Method Summary

double

evaluate(int t) Compute the value at the t-th time point, f(T[t]).

Methods inherited from class com.numericalmethod.suanshu.stats.stochasticprocess.univariate.integration.FiltrationFunction

evaluate, ft, setFT

Methods inherited from class com.numericalmethod.suanshu.analysis.function.rn2r1.UnivariateRealFunction

dimension4Domain, dimension4Range, evaluate

Methods inherited from class java.lang.Object

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

Constructor Detail

Bt

public Bt()

Method Detail

evaluate

public double evaluate(int t)

Description copied from class: FiltrationFunction

Compute the value at the t-th time point, f(T[t]).

Specified by:

evaluate in class FiltrationFunction

Parameters:

t - the index to time

Returns:

f(T[t])