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java.lang.Objectumontreal.iro.lecuyer.stochprocess.StochasticProcess
umontreal.iro.lecuyer.stochprocess.VarianceGammaProcess
umontreal.iro.lecuyer.stochprocess.VarianceGammaProcessDiff
public class VarianceGammaProcessDiff
This class represents a variance gamma (VG) process
{S(t) = X(t;θ, σ, ν) : t >= 0}.
This process is generated using difference of gamma sampling
(see), which uses the representation of the VG process
as the difference of two independent GammaProcess
'es (see):
μp | = | (1/2)( &thetas;^2 + 2σ^2/ν)1/2 + θ/2 |
μn | = | (1/2)( &thetas;^2 + 2σ^2/ν)1/2 - θ/2 |
νp | = | ((1/2)(&thetas;^2 + 2σ^2/ν)1/2 + θ/2)2ν |
νn | = | ((1/2)(&thetas;^2 - 2σ^2/ν)1/2 + θ/2)2ν |
Field Summary |
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Fields inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess |
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path |
Constructor Summary | |
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VarianceGammaProcessDiff(double s0,
double theta,
double sigma,
double nu,
GammaProcess gpos,
GammaProcess gneg)
Same as above. |
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VarianceGammaProcessDiff(double s0,
double theta,
double sigma,
double nu,
RandomStream stream)
Constructs a new VarianceGammaProcessDiff with parameters θ = |
Method Summary | |
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double[] |
generatePath()
Generates, returns and saves the path. |
double[] |
generatePath(double[] uniform01)
Similar to the usual generatePath(), but here the uniform random numbers used for the simulation must be provided to the method. |
GammaProcess |
getGneg()
Returns a reference to the GammaProcess object gneg
used to generate the
Γ- component of the process. |
GammaProcess |
getGpos()
Returns a reference to the GammaProcess object gpos
used to generate the
Γ+ component of the process. |
double |
nextObservation()
Generates the observation for the next time. |
void |
resetStartProcess()
Sets the observation times on the VarianceGammaProcessDiff as usual, but also applies the resetStartProcess method to the two GammaProcess objects used to generate this process. |
void |
setObservationTimes(double[] t,
int d)
Sets the observation times on the VarianceGammaProcesDiff as usual, but also sets the observation times of the underlying GammaProcess 'es. |
void |
setStream(RandomStream stream)
Sets the RandomStream
of the two GammaProcess 'es to the same stream. |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.VarianceGammaProcess |
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getBrownianMotion, getGammaProcess, getNu, getSigma, getStream, getTheta, setParams |
Methods inherited from class umontreal.iro.lecuyer.stochprocess.StochasticProcess |
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generatePath, getArrayMappingCounterToIndex, getCurrentObservation, getCurrentObservationIndex, getNbObservationTimes, getObservation, getObservationTimes, getPath, getSubpath, getX0, hasNextObservation, setObservationTimes, setX0 |
Methods inherited from class java.lang.Object |
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equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
Constructor Detail |
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public VarianceGammaProcessDiff(double s0, double theta, double sigma, double nu, RandomStream stream)
GammaProcess
,
Γ+ and
Γ-,
respectively. The other parameters are
as in the class VarianceGammaProcess
.
The GammaProcess
objects for
Γ+ and
Γ- are
constructed using the parameters from and their
initial values
Γ+(t0) and
Γ-(t0) are set to 0.
public VarianceGammaProcessDiff(double s0, double theta, double sigma, double nu, GammaProcess gpos, GammaProcess gneg)
GammaProcess
objects for
Γ+ and
Γ- are
set to those of and their
initial values
Γ+(t0) and
Γ-(t0) are set to 0.
Also, since there is only one
RandomStream
in the other constructor, only the
RandomStream
included in the GammaProcess
gpos is kept, as the
RandomStream
of gneg
is the same.
Method Detail |
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public double nextObservation()
VarianceGammaProcess
BrownianMotionBridge
and GammaProcessBridge
must be used in the constructor in that case. Furthermore, for bridge
sampling, the order of the observations is that of the bridge,
not sequential order.
nextObservation
in class VarianceGammaProcess
public double[] generatePath()
generatePath
in class VarianceGammaProcess
public double[] generatePath(double[] uniform01)
generatePath
in class VarianceGammaProcess
public void resetStartProcess()
GammaProcess
objects used to generate this process.
resetStartProcess
in class VarianceGammaProcess
public GammaProcess getGpos()
GammaProcess
object gpos
used to generate the
Γ+ component of the process.
public GammaProcess getGneg()
GammaProcess
object gneg
used to generate the
Γ- component of the process.
public void setObservationTimes(double[] t, int d)
GammaProcess
'es.
setObservationTimes
in class VarianceGammaProcess
public void setStream(RandomStream stream)
RandomStream
of the two GammaProcess
'es to the same stream.
setStream
in class VarianceGammaProcess
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SSJ V. 2.2. |
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