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java.lang.Object umontreal.iro.lecuyer.stochprocess.StochasticProcess
public abstract class StochasticProcess
Abstract base class for a stochastic process {X(t) : t >= 0} sampled (or observed) at a finite number of time points, 0 = t_{0} < t_{1} < ^{ ... } < t_{d}. The observation times are usually all specified before generating a sample path. This can be done via setObservationTimes. The method generatePath generates X(t_{1}),..., X(t_{d}) and memorizes them in a vector, which can be recovered by getPath.
Alternatively, for some types of processes, the observations X(t_{j}) can be generated sequentially, one at a time, by invoking resetStartProcess first, and then nextObservation repeatedly. For some types of processes, the observation times can be specified one by one as well, when generating the path. This may be convenient or even necessary if the observation times are random, for example.
WARNING: After having called the constructor for one of the subclass, one must always set the observation times of the process, by calling method setObservationTimes for example or otherwise.
Constructor Summary  

StochasticProcess()

Method Summary  

abstract double[] 
generatePath()
Generates, returns, and saves the sample path {X(t_{0}), X(t_{1}),…, X(t_{d})}. 
double[] 
generatePath(RandomStream stream)
Same as generatePath(), but first resets the stream to stream. 
int[] 
getArrayMappingCounterToIndex()
Returns a reference to an array that maps an integer k to i_{k}, the index of the observation S(t_{ik}) corresponding to the kth observation to be generated for a sample path of this process. 
double 
getCurrentObservation()
Returns the value of the last generated observation X(t_{j}). 
int 
getCurrentObservationIndex()
Returns the value of the index j corresponding to the time t_{j} of the last generated observation. 
int 
getNbObservationTimes()
Returns the number of observation times excluding the time t_{0}. 
double 
getObservation(int j)
Returns X(t_{j}) from the current sample path. 
double[] 
getObservationTimes()
Returns a reference to the array that contains the observation times (t_{0},..., t_{d}). 
double[] 
getPath()
Returns a reference to the last generated sample path {X(t_{0}),..., X(t_{d})}. 
abstract RandomStream 
getStream()
Returns the random stream of the underlying generator. 
void 
getSubpath(double[] subpath,
int[] pathIndices)
Returns in subpath the values of the process at a subset of the observation times, specified as the times t_{j} whose indices j are in the array pathIndices. 
double 
getX0()
Returns the initial value X(t_{0}) for this process. 
boolean 
hasNextObservation()
Returns true if j < d, where j is the number of observations of the current sample path generated since the last call to resetStartProcess . 
double 
nextObservation()
Generates and returns the next observation X(t_{j}) of the stochastic process. 
void 
resetStartProcess()
Resets the observation counter to its initial value j = 0, so that the current observation X(t_{j}) becomes X(t_{0}). 
void 
setObservationTimes(double[] T,
int d)
Sets the observation times of the process to a copy of T, with t_{0} = T[0] and t_{d} = T[d]. 
void 
setObservationTimes(double delta,
int d)
Sets equidistant observation times at t_{j} = jδ, for j = 0,..., d, and delta = δ. 
abstract void 
setStream(RandomStream stream)
Resets the random stream of the underlying generator to stream. 
void 
setX0(double s0)
Sets the initial value X(t_{0}) for this process to s0, and reinitializes. 
Methods inherited from class java.lang.Object 

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait 
Constructor Detail 

public StochasticProcess()
Method Detail 

public void setObservationTimes(double[] T, int d)
public void setObservationTimes(double delta, int d)
public double[] getObservationTimes()
public int getNbObservationTimes()
public abstract double[] generatePath()
public double[] generatePath(RandomStream stream)
public double[] getPath()
public void getSubpath(double[] subpath, int[] pathIndices)
public double getObservation(int j)
public void resetStartProcess()
nextObservation
, for a new sample path.
public boolean hasNextObservation()
resetStartProcess
.
Otherwise returns false.
public double nextObservation()
public int getCurrentObservationIndex()
public double getCurrentObservation()
public double getX0()
public void setX0(double s0)
public abstract void setStream(RandomStream stream)
public abstract RandomStream getStream()
public int[] getArrayMappingCounterToIndex()

SSJ V. 2.6. 

PREV CLASS NEXT CLASS  FRAMES NO FRAMES  
SUMMARY: NESTED  FIELD  CONSTR  METHOD  DETAIL: FIELD  CONSTR  METHOD 