ForwardMeasureProcess Class Reference

forward-measure stochastic process More...

#include <forwardmeasureprocess.hpp>

Inheritance diagram for ForwardMeasureProcess:

Collaboration diagram for ForwardMeasureProcess:

Public Member Functions
virtual void	setForwardMeasureTime (Time)
Time	getForwardMeasureTime () const
Public Member Functions inherited from StochasticProcess
	~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
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 ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()

Protected Member Functions
	ForwardMeasureProcess ()=default
	ForwardMeasureProcess (Time T)
	ForwardMeasureProcess (const 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 StochasticProcess
ext::shared_ptr< discretization >	discretization_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

forward-measure stochastic process

stochastic process whose dynamics are expressed in the forward measure.

Definition at line 37 of file forwardmeasureprocess.hpp.

Constructor & Destructor Documentation

ForwardMeasureProcess() [1/3]

ForwardMeasureProcess ( )

protecteddefault

ForwardMeasureProcess() [2/3]

ForwardMeasureProcess ( Time  T )

explicitprotected

Definition at line 43 of file forwardmeasureprocess.hpp.

ForwardMeasureProcess() [3/3]

ForwardMeasureProcess ( const ext::shared_ptr< discretization > &  disc )

explicitprotected

Definition at line 26 of file forwardmeasureprocess.cpp.

Member Function Documentation

setForwardMeasureTime()

void setForwardMeasureTime ( Time  T )

virtual

Definition at line 30 of file forwardmeasureprocess.cpp.

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getForwardMeasureTime()

Time getForwardMeasureTime

(

)

const

Definition at line 35 of file forwardmeasureprocess.cpp.

Member Data Documentation

T_

Time T_

protected

Definition at line 46 of file forwardmeasureprocess.hpp.