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

java.lang.Object
  com.numericalmethod.suanshu.stats.stochasticprocess.univariate.integration.Filtration

public class Filtration
extends java.lang.Object

This class represents the filtration information known at the end of time. It contains all histories about a simulation.

Constructor Summary

Filtration(TimeSeries<java.lang.Double> Bt)
Construct a Filtration from a Brownian path.

Method Summary

double	B(int t) Get the Brownian motion value at time t.
double[]	Bt() Get the entire Brownian path.
double	dB(int t) Get the Brownian increment at the t-th time grid point.
double[]	dBt() Get all the Brownian increments.
double[]	dt() Get all the time increments.
double	dt(int t) Get the t-th time increment.
int	size() Get the length of the history, excluding the initial value (0).
double[]	T() Get the entire time grid.
double	T(int t) Get the t-th time point.

Methods inherited from class java.lang.Object

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

Constructor Detail

Filtration

public Filtration(TimeSeries<java.lang.Double> Bt)

Construct a Filtration from a Brownian path.

Parameters:

Bt - a Brownian path

Method Detail

size

public int size()

Get the length of the history, excluding the initial value (0).

Returns:

the length of the Brownian path - 1

B

public double B(int t)

Get the Brownian motion value at time t.

B(0) = 0

Parameters:

t - time, counting from 0

Returns:

Bt the Brownian motion value at time t

Bt

public double[] Bt()

Get the entire Brownian path.

B[0] = 0

Returns:

the entire Brownian path

dB

public double dB(int t)

Get the Brownian increment at the t-th time grid point.

dB[0] = B(1) - B(0) = B(1)

Parameters:

t - time, counting from 0

Returns:

dBt

dBt

public double[] dBt()

Get all the Brownian increments.

Returns:

the Brownian increments

T

public double T(int t)

Get the t-th time point.

Parameters:

t - the time index

Returns:

the t-th time point

T

public double[] T()

Get the entire time grid.

Returns:

the times

dt

public double dt(int t)

Get the t-th time increment.

dt[0] = t[1] - t[0] = t[1] - t0

Parameters:

t - time, counting from 0

Returns:

dt the t-th time increment

dt

public double[] dt()

Get all the time increments.

Returns:

the time increments