OrnsteinUhlenbeckProcessEuler.java

/*
 * Class:        OrnsteinUhlenbeckProcessEuler
 * Description:  
 * Environment:  Java
 * Software:     SSJ 
 * Copyright (C) 2001  Pierre L'Ecuyer and Universite de Montreal
 * Organization: DIRO, Universite de Montreal
 * @author       
 * @since
 *
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at
 *
 *     http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 *
 */
package umontreal.ssj.stochprocess;
 
import umontreal.ssj.rng.*;
import umontreal.ssj.probdist.*;
import umontreal.ssj.randvar.*;

public class OrnsteinUhlenbeckProcessEuler extends OrnsteinUhlenbeckProcess {

   public OrnsteinUhlenbeckProcessEuler(double x0, double alpha, double b, double sigma, RandomStream stream) {
      this(x0, alpha, b, sigma, new NormalGen(stream));
   }

   public OrnsteinUhlenbeckProcessEuler(double x0, double alpha, double b, double sigma, NormalGen gen) {
      super(x0, alpha, b, sigma, gen);
   }
 
   public double nextObservation() {
      double xOld = path[observationIndex];
      double x = xOld + (beta - xOld) * alphadt[observationIndex] + sigmasqrdt[observationIndex] * gen.nextDouble();
      observationIndex++;
      path[observationIndex] = x;
      return x;
   }

   public double nextObservation(double nextTime) {
      double previousTime = t[observationIndex];
      double xOld = path[observationIndex];
      observationIndex++;
      t[observationIndex] = nextTime;
      double dt = nextTime - previousTime;
      double x = xOld + alpha * (beta - xOld) * dt + sigma * Math.sqrt(dt) * gen.nextDouble();
      path[observationIndex] = x;
      return x;
   }

   public double nextObservation(double x, double dt) {
      x = x + alpha * (beta - x) * dt + sigma * Math.sqrt(dt) * gen.nextDouble();
      return x;
   }

   public double[] generatePath() {
      double x;
      double xOld = x0;
      for (int j = 0; j < d; j++) {
         x = xOld + (beta - xOld) * alphadt[j] + sigmasqrdt[j] * gen.nextDouble();
         path[j + 1] = x;
         xOld = x;
      }
      observationIndex = d;
      return path;
   }
 
   protected void initArrays(int d) {
      double dt;
      for (int j = 0; j < d; j++) {
         dt = t[j + 1] - t[j];
         alphadt[j] = alpha * (dt);
         sigmasqrdt[j] = sigma * Math.sqrt(dt);
      }
   }
}