R1FokkerPlanckBrownian

java.lang.Object

org.drip.dynamics.kolmogorov.R1FokkerPlanck

org.drip.dynamics.kolmogorov.R1FokkerPlanckBrownian

public class R1FokkerPlanckBrownian
extends R1FokkerPlanck

R1FokkerPlanckBrownian exposes the R¹ Brownian Probability Density Function Evolution Equation. The References are:

Bogoliubov, N. N., and D. P. Sankevich (1994): N. N. Bogoliubov and Statistical Mechanics Russian Mathematical Surveys 49 (5) 19-49
Holubec, V., K. Kroy, and S. Steffenoni (2019): Physically Consistent Numerical Solver for Time-dependent Fokker-Planck Equations Physical Review E 99 (4) 032117
Kadanoff, L. P. (2000): Statistical Physics: Statics, Dynamics, and Re-normalization World Scientific
Ottinger, H. C. (1996): Stochastic Processes in Polymeric Fluids Springer-Verlag Berlin-Heidelberg
Wikipedia (2019): Fokker-Planck Equation https://en.wikipedia.org/wiki/Fokker%E2%80%93Planck_equation

Module = Product Core Module
Library = Fixed Income Analytics
Project = HJM, Hull White, LMM, and SABR Dynamic Evolution Models
Package = Fokker Planck Kolmogorov Forward/Backward

Author:: Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor Description

R1FokkerPlanckBrownian()
R1FokkerPlanckBrownian Constructor
Method Summary

Modifier and Type Method Description

R1ProbabilityDensityFunction deltaStartTemporalPDF(double x0)
Compute the Temporal Probability Distribution Function given the Delta 0 Starting PDF

Methods inherited from class org.drip.dynamics.kolmogorov.R1FokkerPlanck
driftFunction, pdfDot, steadyStatePDF, temporalPDF, volatilityFunction

Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details
- R1FokkerPlanckBrownian
  
  public R1FokkerPlanckBrownian() throws java.lang.Exception
  
  R1FokkerPlanckBrownian Constructor
  
  Throws:
  
  java.lang.Exception - Thrown if R1FokkerPlanckBrownian cannot be constructed
Method Details
- deltaStartTemporalPDF
  
  public R1ProbabilityDensityFunction deltaStartTemporalPDF(double x0)
  
  Description copied from class: R1FokkerPlanck
  
  Compute the Temporal Probability Distribution Function given the Delta 0 Starting PDF
  
  Overrides:
  
  deltaStartTemporalPDF in class R1FokkerPlanck
  
  Parameters:
  
  x0 - The X Anchor for the Delta Function
  
  Returns:
  
  The Temporal Probability Distribution Function given the Delta 0 Starting PDF