com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde
Class SDE

java.lang.Object
  com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde.SDE

Direct Known Subclasses:

Bessel, GeometricBrownian

public class SDE
extends java.lang.Object

This class represents a univariate, continuous-time Stochastic Differential Equation of this form: dX(t) = μ(t, Xt, Zt, ...) * dt + σ(t, Xt, Zt, ...) * dB(t).

Field Summary

Drift	mu the drift μ(t, Xt, Zt, ...)
Diffusion	sigma the diffusion coefficient σ(t, Xt, Zt, ...)

Constructor Summary

SDE(Drift mu, Diffusion sigma)
Construct a univariate diffusion type stochastic differential equation.

Method Summary

Ft	getFt() Get an empty filtration for the process.

Methods inherited from class java.lang.Object

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

Field Detail

mu

public final Drift mu

the drift

 μ(t, Xt, Zt, ...)
 

sigma

public final Diffusion sigma

the diffusion coefficient

 σ(t, Xt, Zt, ...)
 

Constructor Detail

SDE

public SDE(Drift mu,
           Diffusion sigma)

Construct a univariate diffusion type stochastic differential equation.

Parameters:

mu - the drift

sigma - the diffusion coefficient

Method Detail

getFt

public Ft getFt()

Get an empty filtration for the process.

Returns:

an empty filtration