Package org.drip.dynamics.kolmogorov

Interface RiskenOmegaEstimator

public interface RiskenOmegaEstimator
RiskenOmegaEstimator exposes the Omega Estimation using the Risken Algorithm. 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


Author:
Lakshmi Krishnamurthy

  • Method Summary

    Modifier and Type Method Description
    double[][] estimateOmega​(DiffusionTensor diffusionTensor, RdToR1Drift[] driftFunctionArray)
    Estimate Omega Matrix using the Risken Algorithm

  • Method Details

    • estimateOmega

      double[][] estimateOmega​(DiffusionTensor diffusionTensor, RdToR1Drift[] driftFunctionArray)
      Estimate Omega Matrix using the Risken Algorithm
      Parameters:
      driftFunctionArray - Drift Function Array
      diffusionTensor - Diffusion Tensor
      Returns:
      The Omega Matrix Estimate