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StoppingTime Class Reference

#include <StochasticProcess.h>

Inheritance diagram for StoppingTime:

List of all members.

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Detailed Description

Stopping time for a stochastic Process. See book, 3.3.

Definition at line 51 of file StochasticProcess.h.

Public Member Functions
	StoppingTime (int T_oo)
virtual bool	stop (int t)=0
int	valueAlongCurrentPath ()
Protected Attributes
int	T

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Constructor & Destructor Documentation

StoppingTime::StoppingTime (  int    T_oo )  [inline]

Parameters: T_oo  number of time steps to horizon. Definition at line 60 of file StochasticProcess.h.

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Member Function Documentation

virtual bool StoppingTime::stop (  int    t )  [pure virtual]

Returns true if we must stop at time t, false otherwise. In concrete implementations make sure it returns true as soon as we hit the horizon. Implemented in HittingTime< RangeType, ScalarType >, and FirstExitTime< RangeType, ScalarType >. Referenced by BrownianScalarProcess::newPathSegment(), BrownianVectorProcess::newPathSegment(), StochasticProcess< Real, Real >::newPathSegment(), and valueAlongCurrentPath().

int StoppingTime::valueAlongCurrentPath (    )  [inline]

The smallest time t such that stop(t) returns true. Definition at line 71 of file StochasticProcess.h. References stop().

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Member Data Documentation

int StoppingTime::T [protected]

Definition at line 55 of file StochasticProcess.h. Referenced by FirstExitTime< RangeType, ScalarType >::stop(), and HittingTime< RangeType, ScalarType >::stop().

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

• StochasticProcess.h

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