|
virtual void | setForwardMeasureTime (Time) |
|
Time | getForwardMeasureTime () const |
|
| ~StochasticProcess () override=default |
|
virtual Size | size () const =0 |
| returns the number of dimensions of the stochastic process More...
|
|
virtual Size | factors () const |
| returns the number of independent factors of the process More...
|
|
virtual Array | initialValues () const =0 |
| returns the initial values of the state variables More...
|
|
virtual Array | drift (Time t, const Array &x) const =0 |
| returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \) More...
|
|
virtual Matrix | diffusion (Time t, const Array &x) const =0 |
| returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \) More...
|
|
virtual Array | expectation (Time t0, const Array &x0, Time dt) const |
|
virtual Matrix | stdDeviation (Time t0, const Array &x0, Time dt) const |
|
virtual Matrix | covariance (Time t0, const Array &x0, Time dt) const |
|
virtual Array | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const |
|
virtual Array | apply (const Array &x0, const Array &dx) const |
|
virtual Time | time (const Date &) const |
|
void | update () override |
|
| Observer ()=default |
|
| Observer (const Observer &) |
|
Observer & | operator= (const Observer &) |
|
virtual | ~Observer () |
|
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
|
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
|
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
|
void | unregisterWithAll () |
|
virtual void | update ()=0 |
|
virtual void | deepUpdate () |
|
| Observable () |
|
| Observable (const Observable &) |
|
Observable & | operator= (const Observable &) |
|
| Observable (Observable &&)=delete |
|
Observable & | operator= (Observable &&)=delete |
|
virtual | ~Observable ()=default |
|
void | notifyObservers () |
|
forward-measure stochastic process
stochastic process whose dynamics are expressed in the forward measure.
Definition at line 37 of file forwardmeasureprocess.hpp.