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Class StochasticProcessArray

Array of correlated 1-D stochastic processes

Hierarchy

Implements

Index

Classes

Constructors

Properties

Methods

Constructors

constructor

Properties

_discretization

_discretization: discretization

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _processes

_processes: StochasticProcess1D[]

Protected _sqrtCorrelation

_sqrtCorrelation: Matrix

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

Methods

apply1

correlation

  • Returns Matrix

covariance

deepUpdate

  • deepUpdate(): void

diffusion1

drift1

evolve1

expectation1

factors

  • returns the number of independent factors of the process

    Returns Size

init

initialValues

  • initialValues(): Real[]

process

size

stdDeviation1

time

  • time(d: Date): Time

update

  • update(): void