Class BrownianMotion

  extended byProcesses.StochasticProcess
      extended byProcesses.BrownianMotion

public class BrownianMotion
extends StochasticProcess

A one dimensional standard Brownian motion * * @author Michael J. Meyer

Constructor Summary
BrownianMotion(int T, double dt, double X_0)
          Constructor * * @param T Number of time steps to horizon.
Method Summary
 void timeStep(int t)
          The time step StochasticProcess.timeStep(int).
Methods inherited from class Processes.StochasticProcess
get_dt, get_path, get_T, get_X_0, newPath, newPathBranch, pathSegment, pathSegment, pathSegment, sampledAt, simulationInit, timeStep
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail


public BrownianMotion(int T,
                      double dt,
                      double X_0)
Constructor * * @param T Number of time steps to horizon. * @param dt Size of time step. * @param X_0 Starting value X(0).

Method Detail


public void timeStep(int t)
The time step StochasticProcess.timeStep(int).

Specified by:
timeStep in class StochasticProcess