umontreal.iro.lecuyer.stochprocess

Class VarianceGammaProcessDiffPCABridge

java.lang.Object

umontreal.iro.lecuyer.stochprocess.StochasticProcess

umontreal.iro.lecuyer.stochprocess.VarianceGammaProcess

umontreal.iro.lecuyer.stochprocess.VarianceGammaProcessDiff

umontreal.iro.lecuyer.stochprocess.VarianceGammaProcessDiffPCA

umontreal.iro.lecuyer.stochprocess.VarianceGammaProcessDiffPCABridge

public class VarianceGammaProcessDiffPCABridge
extends VarianceGammaProcessDiffPCA

Same as VarianceGammaProcessDiff, but the two inner GammaProcess'es are of the type PCABridge. Also, generatePath(double[] uniform01) distributes the lowest coordinates uniforms to the inner GammaProcessPCABridge according to their eigenvalues.

Constructor Summary

Constructors

Constructor and Description
VarianceGammaProcessDiffPCABridge(double s0, double theta, double sigma, double nu, RandomStream stream) Constructs a new VarianceGammaProcessDiffPCABridge with parameters θ = theta, σ = sigma, ν = nu and initial value S(t0) = s0.

Method Summary

Methods inherited from class umontreal.iro.lecuyer.stochprocess.VarianceGammaProcessDiffPCA

generatePath, generatePath, nextObservation

Methods inherited from class umontreal.iro.lecuyer.stochprocess.VarianceGammaProcessDiff

getGneg, getGpos, getStream, resetStartProcess, setObservationTimes, setStream

Methods inherited from class umontreal.iro.lecuyer.stochprocess.VarianceGammaProcess

getBrownianMotion, getGammaProcess, getNu, getSigma, getTheta, setParams

Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess

generatePath, getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getSubpath, getX0, hasNextObservation, setObservationTimes, setX0

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

VarianceGammaProcessDiffPCABridge

public VarianceGammaProcessDiffPCABridge(double s0,
                                         double theta,
                                         double sigma,
                                         double nu,
                                         RandomStream stream)

Constructs a new VarianceGammaProcessDiffPCABridge with parameters θ = theta, σ = sigma, ν = nu and initial value S(t₀) = s0. There is only one RandomStream here which is used for the two inner GammaProcessPCABridge's. The other parameters are set as in VarianceGammaProcessDiff.