forward-measure 1-D stochastic process More...
#include <forwardmeasureprocess.hpp>
Inheritance diagram for ForwardMeasureProcess1D:
Collaboration diagram for ForwardMeasureProcess1D:
Public Member Functions | |
| virtual void | setForwardMeasureTime (Time) |
| Time | getForwardMeasureTime () const |
| Public Member Functions inherited from StochasticProcess1D | |
| virtual Real | x0 () const =0 |
| returns the initial value of the state variable More... | |
| virtual Real | drift (Time t, Real x) const =0 |
| returns the drift part of the equation, i.e. \( \mu(t, x_t) \) More... | |
| virtual Real | diffusion (Time t, Real x) const =0 |
| returns the diffusion part of the equation, i.e. \( \sigma(t, x_t) \) More... | |
| virtual Real | expectation (Time t0, Real x0, Time dt) const |
| virtual Real | stdDeviation (Time t0, Real x0, Time dt) const |
| virtual Real | variance (Time t0, Real x0, Time dt) const |
| virtual Real | evolve (Time t0, Real x0, Time dt, Real dw) const |
| virtual Real | apply (Real x0, Real dx) const |
| Public Member Functions inherited from StochasticProcess | |
| ~StochasticProcess () override=default | |
| virtual Size | factors () const |
| returns the number of independent factors of the process More... | |
| virtual Time | time (const Date &) const |
| void | update () override |
| Public Member Functions inherited from Observer | |
| 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 () |
| Public Member Functions inherited from Observable | |
| Observable () | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
Protected Member Functions | |
| ForwardMeasureProcess1D ()=default | |
| ForwardMeasureProcess1D (Time T) | |
| ForwardMeasureProcess1D (const ext::shared_ptr< discretization > &) | |
| Protected Member Functions inherited from StochasticProcess1D | |
| StochasticProcess1D ()=default | |
| StochasticProcess1D (ext::shared_ptr< discretization >) | |
| Protected Member Functions inherited from StochasticProcess | |
| StochasticProcess ()=default | |
| StochasticProcess (ext::shared_ptr< discretization >) | |
Protected Attributes | |
| Time | T_ |
| Protected Attributes inherited from StochasticProcess1D | |
| ext::shared_ptr< discretization > | discretization_ |
| Protected Attributes inherited from StochasticProcess | |
| ext::shared_ptr< discretization > | discretization_ |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
Detailed Description
forward-measure 1-D stochastic process
1-D stochastic process whose dynamics are expressed in the forward measure.
Definition at line 55 of file forwardmeasureprocess.hpp.
Constructor & Destructor Documentation
◆ ForwardMeasureProcess1D() [1/3]
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protecteddefault |
◆ ForwardMeasureProcess1D() [2/3]
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explicitprotected |
Definition at line 61 of file forwardmeasureprocess.hpp.
◆ ForwardMeasureProcess1D() [3/3]
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explicitprotected |
Definition at line 41 of file forwardmeasureprocess.cpp.
Member Function Documentation
◆ setForwardMeasureTime()
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virtual |
Reimplemented in GsrProcess.
Definition at line 45 of file forwardmeasureprocess.cpp.
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◆ getForwardMeasureTime()
| Time getForwardMeasureTime | ( | ) | const |
Definition at line 50 of file forwardmeasureprocess.cpp.
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Member Data Documentation
◆ T_
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protected |
Definition at line 64 of file forwardmeasureprocess.hpp.