Class VectorBrownianMotion

  extended byProcesses.VectorProcess
      extended byProcesses.VectorBrownianMotion

public class VectorBrownianMotion
extends VectorProcess

Standard Brownian motion in dimension dim>1. * @author Michael J. Meyer

Constructor Summary
VectorBrownianMotion(int dim, int T, double dt, double[] X_0)
Method Summary
 void timeStep(int t)
          The time step VectorProcess.timeStep(int).
Methods inherited from class Processes.VectorProcess
get_dim, get_dt, get_path, get_T, get_X_0, newPathBranch, 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 VectorBrownianMotion(int dim,
                            int T,
                            double dt,
                            double[] X_0)


* * @param dim Dimension. * @param T Number of time steps to horizon. * @param dt Size of time step. * @param X_0 Initial value X(0) (a vector).

Method Detail


public void timeStep(int t)

The time step VectorProcess.timeStep(int).

Specified by:
timeStep in class VectorProcess