Processes
Class CompoundPoissonProcess

java.lang.Object
  extended byProcesses.StochasticProcess
      extended byProcesses.CompoundPoissonProcess

public class CompoundPoissonProcess
extends StochasticProcess

The compound Poisson process characterized by intensity lambda * and event random variable X (size of events). * *

Time Step: in the interval [t,t+dt], N * events take place where N is a Poisson variable with intensity * lmda=lambda*dt. * The path is then incremented by N random draws from X.

* * @author Michael J. Meyer


Constructor Summary
CompoundPoissonProcess(int T, double dt, double x_0, double lambda, RandomVariable X)
          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

CompoundPoissonProcess

public CompoundPoissonProcess(int T,
                              double dt,
                              double x_0,
                              double lambda,
                              RandomVariable X)
Constructor * * @param T Number of time steps to horizon. * @param dt Size of time step. * @param x_0 Intitial value at time t=0. * @param lambda Intensity of event occurences. * @param X Event random variable (size of events).

Method Detail

timeStep

public void timeStep(int t)

The time step StochasticProcess.timeStep(int).

Specified by:
timeStep in class StochasticProcess