SSJ
V. 2.6.

umontreal.iro.lecuyer.stochprocess
Class VarianceGammaProcessDiffPCABridge

java.lang.Object
  extended by umontreal.iro.lecuyer.stochprocess.StochasticProcess
      extended by umontreal.iro.lecuyer.stochprocess.VarianceGammaProcess
          extended by umontreal.iro.lecuyer.stochprocess.VarianceGammaProcessDiff
              extended by umontreal.iro.lecuyer.stochprocess.VarianceGammaProcessDiffPCA
                  extended by 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
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.


SSJ
V. 2.6.

To submit a bug or ask questions, send an e-mail to Pierre L'Ecuyer.