Main Page   Namespace List   Class Hierarchy   Alphabetical List   Compound List   File List   Namespace Members   Compound Members   File Members  

BrownianVectorProcess Class Reference

#include <StochasticProcess.h>

Inheritance diagram for BrownianVectorProcess:

StochasticProcess< RealVector, Real > GaussianMartingale VectorBrownianMotion List of all members.

Detailed Description

Vector valued process adapted to a Brownian filtration. Only the following aspect is abstracted: the increments of such a process are likely to be computed by transforming a vector Z with standard normal components (normalized increments of a Wiener process ie. a Brownian motion).

A series of such vectors is needed to drive a path of the process. This class allocates space for these vectors and computes the standard normal deviates by applying the inverse cumulative normal distribution to uniform deviates in (0,1). Two types of uniform deviates are used:

The class provides a mechanism to switch between the two and overrides all the path generation methods in the class StochasticProcess.

Author:
Michael J. Meyer

Definition at line 496 of file StochasticProcess.h.

Public Member Functions

RealVectorcurrentPath (int t)
void setStart (const RealVector &x)
 BrownianVectorProcess (int dim, int T)
 ~BrownianVectorProcess ()
virtual void newPathSegment (int t, int s)
virtual void newPathSegment (int t)
virtual int newPathSegment (int t, StoppingTime *tau)
virtual int newPathSegment (StoppingTime *tau)
void printCurrentPath (int t)
void switchToQMC ()
void switchToMC ()

Protected Attributes

Array1D< RealVector * > path
RealMatrix Z
StochasticGeneratorSG


Constructor & Destructor Documentation

BrownianVectorProcess::BrownianVectorProcess int    dim,
int    T
[inline]
 

Parameters:
dim dimension.
T number of time steps to the horizon.

Definition at line 518 of file StochasticProcess.h.

References RealVector, StochasticProcess< RealVector, Real >::T, and VectorProcess.

BrownianVectorProcess::~BrownianVectorProcess   [inline]
 

Definition at line 525 of file StochasticProcess.h.

References StochasticProcess< RealVector, Real >::T.


Member Function Documentation

RealVector& BrownianVectorProcess::currentPath int    t [inline, virtual]
 

The state of the process at time t.

Implements StochasticProcess< RealVector, Real >.

Definition at line 508 of file StochasticProcess.h.

Referenced by printCurrentPath(), and setStart().

void BrownianVectorProcess::setStart const RealVector   x [inline]
 

Start the process off at the point x: X(0)=x.

Definition at line 511 of file StochasticProcess.h.

References currentPath().

virtual void BrownianVectorProcess::newPathSegment int    t,
int    s
[inline, virtual]
 

Computes a new path segment from time t to time s through all intermediate times t+1,...,s-1. It is assumed that a path has been computed up to time t. Default implementation: calls to timeStep.

Parameters:
t current time.
s future time.

Reimplemented from StochasticProcess< RealVector, Real >.

Definition at line 535 of file StochasticProcess.h.

References StochasticGenerator::newWienerIncrements(), and StochasticProcess< RealVector, Real >::timeStep().

Referenced by newPathSegment().

virtual void BrownianVectorProcess::newPathSegment int    t [inline, virtual]
 

Computes a new path segment from time 0 to time t. Default implementation: calls to timeStep.

Parameters:
t time when path is stopped.

Reimplemented from StochasticProcess< RealVector, Real >.

Definition at line 546 of file StochasticProcess.h.

References newPathSegment().

virtual int BrownianVectorProcess::newPathSegment int    t,
StoppingTime   tau
[inline, virtual]
 

Computes a new path segment from time t to the random time tau&gt=t and returns the value of the time tau >= t when the path is stopped. Default implementation: calls to timeStep.

Parameters:
t current time
tau random future time

Reimplemented from StochasticProcess< RealVector, Real >.

Definition at line 549 of file StochasticProcess.h.

References StochasticGenerator::newWienerIncrements(), StoppingTime::stop(), and StochasticProcess< RealVector, Real >::timeStep().

virtual int BrownianVectorProcess::newPathSegment StoppingTime   tau [inline, virtual]
 

Computes a new path segment from time t=0 to the random time and returns the value of the time tau when the path is stopped. Default implementation: calls to timeStep.

Parameters:
tau random time when path is stopped.

Reimplemented from StochasticProcess< RealVector, Real >.

Definition at line 563 of file StochasticProcess.h.

References newPathSegment().

void BrownianVectorProcess::printCurrentPath int    t [inline]
 

Prints the current path up to time t as a sequence of vectors.

Definition at line 567 of file StochasticProcess.h.

References currentPath().

void BrownianVectorProcess::switchToQMC   [inline]
 

Switches to quasi random dynamics based on Sobol sequence.

Definition at line 579 of file StochasticProcess.h.

void BrownianVectorProcess::switchToMC   [inline]
 

Switches to pseudo random dynamics based on Mersenne Twister.

Definition at line 588 of file StochasticProcess.h.


Member Data Documentation

Array1D< RealVector* > BrownianVectorProcess::path [protected]
 

Definition at line 501 of file StochasticProcess.h.

RealMatrix BrownianVectorProcess::Z [protected]
 

Definition at line 502 of file StochasticProcess.h.

StochasticGenerator* BrownianVectorProcess::SG [protected]
 

Definition at line 503 of file StochasticProcess.h.


The documentation for this class was generated from the following file:
Generated on Mon Sep 22 02:16:32 2003 for Libor-Library by doxygen1.3-rc3