# SuanShu, a Java numerical and statistical library

com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde

## Class MultivariateFt

• java.lang.Object
• com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde.MultivariateFt
• All Implemented Interfaces:
DeepCopyable
Direct Known Subclasses:
MultivariateFtWt

public class MultivariateFt
extends Object
implements DeepCopyable
This represents the concept 'Filtration', the information available at time t.

The information may include (subject to implementation), for example,

• time
• value of the stochastic process
• values of the driving Brownian motion(s)
"Fima C. Klebaner, "pp.23," Introduction to Stochastic Calculus with Applications, 2nd ed, Imperial College Press, 2006."
• ### Constructor Summary

Constructors
Constructor and Description
MultivariateFt()
Construct an empty filtration (no information).
MultivariateFt(MultivariateFt that)
Copy constructor.
• ### Method Summary

All Methods
Modifier and Type Method and Description
MultivariateFt deepCopy()
The implementation returns an instance created from this by the copy constructor of the class, or just this if the instance itself is immutable.
int dim()
Get the dimension of the process.
double dt()
Get the current time differential.
Vector dWt()
Get the increment of the driving Brownian motion during the time differential.
int nB()
Get the number of independent driving Brownian motions.
void setDt(double dt)
Set the current time differential.
void setXt(Vector Xt)
Set the current value of the stochastic process.
void setZt(Vector Zt)
Set the current value of the Gaussian innovation.
Vector Xt()
Get the current value of the stochastic process.
Vector Zt()
Get the current value of the Gaussian innovation.
• ### Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
• ### Constructor Detail

• #### MultivariateFt

public MultivariateFt()
Construct an empty filtration (no information).
• #### MultivariateFt

public MultivariateFt(MultivariateFt that)
Copy constructor.
Parameters:
that - another Ft
• ### Method Detail

• #### deepCopy

public MultivariateFt deepCopy()
Description copied from interface: DeepCopyable
The implementation returns an instance created from this by the copy constructor of the class, or just this if the instance itself is immutable.
Specified by:
deepCopy in interface DeepCopyable
Returns:
an independent (deep) copy of the instance
• #### dim

public int dim()
Get the dimension of the process.
Returns:
the dimension of the process
• #### nB

public int nB()
Get the number of independent driving Brownian motions.
Returns:
the number of independent driving Brownian motions
• #### setDt

public void setDt(double dt)
Set the current time differential.
Parameters:
dt - the time differential
• #### dt

public double dt()
Get the current time differential.
Returns:
the time differential
• #### setXt

public void setXt(Vector Xt)
Set the current value of the stochastic process.
Parameters:
Xt - the current value of the stochastic process
• #### Xt

public Vector Xt()
Get the current value of the stochastic process.
Returns:
the current value of the stochastic process
• #### setZt

public void setZt(Vector Zt)
Set the current value of the Gaussian innovation.
Parameters:
Zt - the current Gaussian innovation
• #### Zt

public Vector Zt()
Get the current value of the Gaussian innovation.
Returns:
the current Gaussian innovation
• #### dWt

public Vector dWt()
Get the increment of the driving Brownian motion during the time differential. This is the product of the Gaussian innovation and the square root of the time differential.
Returns:
the increment of the driving Brownian motion during the time differential