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java.lang.Objectumontreal.iro.lecuyer.stochprocess.StochasticProcess
umontreal.iro.lecuyer.stochprocess.BrownianMotion
umontreal.iro.lecuyer.stochprocess.BrownianMotionPCAEqualSteps
public class BrownianMotionPCAEqualSteps
Same as BrownianMotionPCA, but uses a trick to speed up the calculation when the time steps are equidistant.
| Constructor Summary | |
|---|---|
BrownianMotionPCAEqualSteps(double x0,
double mu,
double sigma,
NormalGen gen)
Constructs a new BrownianMotionPCAEqualSteps. |
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BrownianMotionPCAEqualSteps(double x0,
double mu,
double sigma,
RandomStream stream)
Constructs a new BrownianMotionPCAEqualSteps. |
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| Method Summary | |
|---|---|
double[] |
generatePath()
Generates, returns, and saves the sample path {X(t0), X(t1),…, X(td)}. |
double[] |
generatePath(double[] QMCpointsBM)
Same as generatePath(), but a vector of uniform random numbers must be provided to the method. |
double[] |
getSortedEigenvalues()
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double |
nextObservation()
Generates and returns the next observation X(tj) of the stochastic process. |
void |
setObservationTimes(double[] t,
int d)
Sets the observation times of the process to a copy of T, with t0 = T[0] and td = T[d]. |
void |
setObservationTimes(double dt,
int d)
Sets equidistant observation times at tj = jδ, for j = 0,..., d, and delta = δ. |
| Methods inherited from class umontreal.iro.lecuyer.stochprocess.BrownianMotion |
|---|
generatePath, getGen, getMu, getSigma, getStream, nextObservation, nextObservation, setParams, setStream |
| Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess |
|---|
getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getSubpath, getX0, hasNextObservation, resetStartProcess, setX0 |
| Methods inherited from class java.lang.Object |
|---|
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
| Constructor Detail |
|---|
public BrownianMotionPCAEqualSteps(double x0,
double mu,
double sigma,
RandomStream stream)
public BrownianMotionPCAEqualSteps(double x0,
double mu,
double sigma,
NormalGen gen)
| Method Detail |
|---|
public double nextObservation()
StochasticProcess
nextObservation in class BrownianMotionpublic double[] generatePath()
StochasticProcess
generatePath in class BrownianMotionpublic double[] generatePath(double[] QMCpointsBM)
BrownianMotion
generatePath in class BrownianMotion
public void setObservationTimes(double[] t,
int d)
StochasticProcess
setObservationTimes in class StochasticProcess
public void setObservationTimes(double dt,
int d)
StochasticProcess
setObservationTimes in class StochasticProcesspublic double[] getSortedEigenvalues()
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SSJ V. labo. |
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