Module net.finmath.lib
Package net.finmath.montecarlo

Class BrownianMotionWithControlVariate

  • All Implemented Interfaces:
    BrownianMotion, IndependentIncrements
    public class BrownianMotionWithControlVariate
extends Object
implements BrownianMotion
    Provides a Brownian motion from given (independent) increments and performs a control of the expectation and the standard deviation. This class references a class providing Brownian increments \( \Delta U(t_{i}) \) and transforms them via \[ \Delta W(t_{i}) = a \Delta U(t_{i}) + b \] such that \Delta W(t_{i}) has exact mean 0 and exact standard deviation \( \sqrt{\Delta t_{i}} \).
    Version:
    1.0
    Author:
    Christian Fries

    • Constructor Detail

      • BrownianMotionWithControlVariate

        public BrownianMotionWithControlVariate​(BrownianMotion brownianMotion)
        Create a controlled Brownian motion.
        Parameters:
        brownianMotion - The Brownian motion providing the (un-controlled) factors dUj.

    • Method Detail

      • getBrownianIncrement

        public RandomVariable getBrownianIncrement​(int timeIndex,
                                           int factorIndex)
        Description copied from interface: BrownianMotion
        Return the Brownian increment for a given timeIndex. The method returns the random variable Δ Wj(ti) := Wj(ti+1)-W(ti) for the given time index i and a given factor (index) j
        Specified by:
        getBrownianIncrement in interface BrownianMotion
        Parameters:
        timeIndex - The time index (corresponding to the this class's time discretization).
        factorIndex - The index of the factor (independent scalar Brownian increment).
        Returns:
        The factor (component) of the Brownian increments (a random variable).

      • getCloneWithModifiedSeed

        public BrownianMotion getCloneWithModifiedSeed​(int seed)
        Description copied from interface: BrownianMotion
        Return a new object implementing BrownianMotion having the same specifications as this object but a different seed for the random number generator. This method is useful if you like to make Monte-Carlo samplings by changing the seed.
        Specified by:
        getCloneWithModifiedSeed in interface BrownianMotion
        Specified by:
        getCloneWithModifiedSeed in interface IndependentIncrements
        Parameters:
        seed - New value for the seed.
        Returns:
        New object implementing BrownianMotion.

      • getIncrement

        public RandomVariable getIncrement​(int timeIndex,
                                   int factor)
        Description copied from interface: IndependentIncrements
        Return the increment for a given timeIndex and given factor. The method returns the random variable Δ Xj(ti) := Xj(ti+1)-X(ti) for the given time index i and a given factor (index) j
        Specified by:
        getIncrement in interface IndependentIncrements
        Parameters:
        timeIndex - The time index (corresponding to the this class's time discretization)
        factor - The index of the factor (independent scalar increment)
        Returns:
        The factor (component) of the increments (a random variable)