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

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

All Implemented Interfaces:

Function, RealScalarFunction

Direct Known Subclasses:

Bt, F_sum_BtDt, F_sum_tBtDt

public abstract class FiltrationFunction
extends UnivariateRealFunction

This class represents a function of time and a (fixed) Brownian path. The function is not necessarily adapted.

Nested Class Summary

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

Function.EvaluationException

Field Summary

protected Filtration

FT the filtration, containing all histories

Constructor Summary

FiltrationFunction()

Method Summary

double	evaluate(double t) Compute f(x).
abstract double	evaluate(int t) Compute the value at the t-th time point, f(T[t]).
double[]	ft() Compute all values at all time points.
void	setFT(Filtration FT) Set the filtration for this function.

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

Field Detail

FT

protected Filtration FT

the filtration, containing all histories

Constructor Detail

FiltrationFunction

public FiltrationFunction()

Method Detail

evaluate

public abstract double evaluate(int t)

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

Parameters:

t - the index to time

Returns:

f(T[t])

setFT

public void setFT(Filtration FT)

Set the filtration for this function.

This function is called for each call to Integrator.integral(com.numericalmethod.suanshu.stats.stochasticprocess.univariate.integration.Filtration) before doing the integration.

Parameters:

FT - a filtration

ft

public double[] ft()

Compute all values at all time points.

Returns:

{f(T[t])}, for each time point

evaluate

public double evaluate(double t)

Description copied from class: UnivariateRealFunction

Compute f(x).

Specified by:

evaluate in class UnivariateRealFunction

Parameters:

t - x

Returns:

f(x)