|
SSJ V. labo. |
||||||||
| PREV CLASS NEXT CLASS | FRAMES NO FRAMES | ||||||||
| SUMMARY: NESTED | FIELD | CONSTR | METHOD | DETAIL: FIELD | CONSTR | METHOD | ||||||||
java.lang.Objectumontreal.iro.lecuyer.stochprocess.StochasticProcess
umontreal.iro.lecuyer.stochprocess.OrnsteinUhlenbeckProcess
umontreal.iro.lecuyer.stochprocess.OrnsteinUhlenbeckProcessEuler
public class OrnsteinUhlenbeckProcessEuler
.
This class represents an Ornstein-Uhlenbeck process
as in OrnsteinUhlenbeckProcess, but
the process is generated using the simple Euler scheme
| Constructor Summary | |
|---|---|
OrnsteinUhlenbeckProcessEuler(double x0,
double alpha,
double b,
double sigma,
NormalGen gen)
Here, the normal variate generator is specified directly instead of specifying the stream. |
|
OrnsteinUhlenbeckProcessEuler(double x0,
double alpha,
double b,
double sigma,
RandomStream stream)
Constructor with parameters α = alpha, b, σ = sigma and initial value X(t0) = x0. |
|
| Method Summary | |
|---|---|
double[] |
generatePath()
Generates a sample path of the process at all observation times, which are provided in array t. |
double |
nextObservation()
Generates and returns the next observation at time tj+1 = nextTime. |
double |
nextObservation(double nextTime)
Generates and returns the next observation at time tj+1 = nextTime, using the previous observation time tj defined earlier (either by this method or by setObservationTimes), as well as the value of the previous observation X(tj). |
double |
nextObservation(double x,
double dt)
Generates and returns an observation of the process in dt time units, assuming that the process has value x at the current time. |
| Methods inherited from class umontreal.iro.lecuyer.stochprocess.OrnsteinUhlenbeckProcess |
|---|
generatePath, getAlpha, getB, getGen, getSigma, getStream, setParams, setStream |
| Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess |
|---|
getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getSubpath, getX0, hasNextObservation, resetStartProcess, setObservationTimes, setObservationTimes, setX0 |
| Methods inherited from class java.lang.Object |
|---|
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
| Constructor Detail |
|---|
public OrnsteinUhlenbeckProcessEuler(double x0,
double alpha,
double b,
double sigma,
RandomStream stream)
public OrnsteinUhlenbeckProcessEuler(double x0,
double alpha,
double b,
double sigma,
NormalGen gen)
| Method Detail |
|---|
public double nextObservation()
nextObservation in class OrnsteinUhlenbeckProcesspublic double nextObservation(double nextTime)
OrnsteinUhlenbeckProcess
nextObservation in class OrnsteinUhlenbeckProcess
public double nextObservation(double x,
double dt)
nextObservation in class OrnsteinUhlenbeckProcesspublic double[] generatePath()
generatePath in class OrnsteinUhlenbeckProcess
|
SSJ V. labo. |
||||||||
| PREV CLASS NEXT CLASS | FRAMES NO FRAMES | ||||||||
| SUMMARY: NESTED | FIELD | CONSTR | METHOD | DETAIL: FIELD | CONSTR | METHOD | ||||||||