SSJ
V. labo.

umontreal.iro.lecuyer.stochprocess
Class MultivariateStochasticProcess

java.lang.Object
  extended by umontreal.iro.lecuyer.stochprocess.StochasticProcess
      extended by umontreal.iro.lecuyer.stochprocess.MultivariateStochasticProcess
Direct Known Subclasses:
MultivariateBrownianMotion, MultivariateGeometricBrownianMotion

public abstract class MultivariateStochasticProcess
extends StochasticProcess

MultivariateStochasticProcess

This class is a multivariate version of StochasticProcess where the process evolves in the c-dimensional real space. It is an abstract (base) class for a multivariate stochastic process {$ \bX$(t) = (X1(t),..., Xc(t)), t≥0}, sampled (or observed) at a finite number of time points, 0 = t0 < t1 < ... < td. The observation times can be specified by setObservationTimes. The method generatePath generates [tex2html_wrap_inline185](t1),...,[tex2html_wrap_inline186](td) and memorizes them in a (one-dimensional) vector, which can be recovered by getPath. The element cj + i-1 of this vector contains Xi(tj), for j = 0,..., d and i = 1,..., c. Alternatively, in some cases, the observations [tex2html_wrap_inline191](tj) can be generated sequentially, one at a time, by invoking resetStartProcess first, and then nextObservationVector repeatedly.


Constructor Summary
MultivariateStochasticProcess()
           
 
Method Summary
abstract  double[] generatePath()
          .
 void getCurrentObservation(double[] obs)
          .
 int getDimension()
          .
 void getObservation(int j, double[] obs)
          .
 double getObservation(int j, int i)
          .
 void getSubpath(double[] subpath, int[] pathIndices)
          .
 double[] getX0(double[] x0)
          .
abstract  void nextObservationVector(double[] obs)
          .
 void setObservationTimes(double[] t, int d)
          .
 
Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess
generatePath, getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getStream, getX0, hasNextObservation, nextObservation, resetStartProcess, setObservationTimes, setStream, setX0
 
Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

MultivariateStochasticProcess

public MultivariateStochasticProcess()
Method Detail

generatePath

public abstract double[] generatePath()
. \begin{tabb}Generates, returns, and saves the sample path
 $\{\bX(t_{0}), \bX(t_{...
 ...cj + i-1]}
 contains $X_i(t_j)$\ for $j=0,\dots,d$\ and $i=1,\dots,c$.
 \end{tabb}

Specified by:
generatePath in class StochasticProcess

getSubpath

public void getSubpath(double[] subpath,
                       int[] pathIndices)
. \begin{tabb}
 Returns in \texttt{subpath} the values of the process at a subset o...
 ...{pathIndices} should be at least as much as that of \texttt{subpath}.
 \end{tabb}

Overrides:
getSubpath in class StochasticProcess

setObservationTimes

public void setObservationTimes(double[] t,
                                int d)
. \begin{tabb}
 Sets the observation times of the process to a copy of \texttt{t},
 ...
 ...$\ and $t_{d} = \texttt{t[d]}$.
 The size of \texttt{t} must be $d+1$.
 \end{tabb}

Overrides:
setObservationTimes in class StochasticProcess

getObservation

public void getObservation(int j,
                           double[] obs)
. \begin{tabb}Returns $\bX(t_{j})$\ in the $c$-dimensional vector \texttt{obs}.
 \end{tabb}


getObservation

public double getObservation(int j,
                             int i)
. \begin{tabb}Returns $X_i(t_{j})$\ from the current sample path.
 \end{tabb}


nextObservationVector

public abstract void nextObservationVector(double[] obs)
. \begin{tabb}
 Generates and returns in \texttt{obs} the next observation $\bX(t_j)$.
 \end{tabb}


getCurrentObservation

public void getCurrentObservation(double[] obs)
. \begin{tabb}Returns the value of the last generated observation $\bX(t_{j})$.
 \end{tabb}


getX0

public double[] getX0(double[] x0)
. \begin{tabb}Returns in \texttt{x0} the initial value $\bX(t_{0})$\ for this process.
 \end{tabb}


getDimension

public int getDimension()
. \begin{tabb}Returns the dimension of $\bX$.
 \end{tabb}


SSJ
V. labo.

To submit a bug or ask questions, send an e-mail to Pierre L'Ecuyer.