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GaussianMartingale Class Reference

#include <StochasticProcesses.h>

Inheritance diagram for GaussianMartingale:

BrownianVectorProcess StochasticProcess< RealVector, Real > List of all members.

Detailed Description

Driftless vectorial Ito process with deterministic matrix as in FactorLoading. See book, 3.11. The process Y satisfies

where the are correlated Brownian motions with covariation process

Definition at line 130 of file StochasticProcesses.h.

Public Member Functions

 GaussianMartingale (int dim, int T, int ds, RealVector &x0, FactorLoading *fl)
 ~GaussianMartingale ()
void timeStep (int t)

Constructor & Destructor Documentation

GaussianMartingale::GaussianMartingale int    dim,
int    T,
int    ds,
RealVector   x0,
FactorLoading   fl

dim dimension. T number of time steps to horizon. ds size of time step. x0 state at time t=0. fl the factor loading.


Member Function Documentation

void GaussianMartingale::timeStep int    t [virtual]

Time step t->t+1 based on current Z-increments.

Implements StochasticProcess< RealVector, Real >.

The documentation for this class was generated from the following file:
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