SuanShu, a Java numerical and statistical library



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

java.lang.Object
  extended by com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde.Ft
All Implemented Interfaces:
DeepCopyable
Direct Known Subclasses:
FtWt

public class Ft
extends Object
implements DeepCopyable

This represents the concept 'Filtration', the information available at time t.

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

See Also:
"Fima C. Klebaner, "pp.23," Introduction to Stochastic Calculus with Applications, 2nd ed, Imperial College Press, 2006."

Constructor Summary
Ft()
          Construct an empty filtration (no information).
Ft(Ft that)
          Copy constructor.
 
Method Summary
 Ft 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.
 double dt()
          Get the current time differential.
 double dWt()
          Get the increment of the driving Brownian motion during the time differential.
 void setDt(double dt)
          Set the current time differential.
 void setXt(double Xt)
          Set the current value of the stochastic process.
 void setZt(double Zt)
          Set the current value of the Gaussian innovation.
 double Xt()
          Get the current value of the stochastic process.
 double 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

Ft

public Ft()
Construct an empty filtration (no information).


Ft

public Ft(Ft that)
Copy constructor.

Parameters:
that - another Ft
Method Detail

deepCopy

public Ft 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

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(double Xt)
Set the current value of the stochastic process.

Parameters:
Xt - the current value of the stochastic process

Xt

public double Xt()
Get the current value of the stochastic process.

Returns:
the current value of the stochastic process

setZt

public void setZt(double Zt)
Set the current value of the Gaussian innovation.

Parameters:
Zt - the current Gaussian innovation

Zt

public double Zt()
Get the current value of the Gaussian innovation.

Returns:
the current Gaussian innovation

dWt

public double 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


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