Package org.drip.dynamics.physical

Class LangevinEvolver

java.lang.Object
org.drip.dynamics.process.R1StochasticEvolver
org.drip.dynamics.meanreverting.R1CKLSStochasticEvolver
org.drip.dynamics.meanreverting.R1VasicekStochasticEvolver
org.drip.dynamics.physical.LangevinEvolver
public class LangevinEvolver
extends R1VasicekStochasticEvolver
LangevinEvolver implements the Noisy Elastic Relaxation Process in a Friction-Thermal Background. The References are:

  • Doob, J. L. (1942): The Brownian Movement and Stochastic Equations Annals of Mathematics 43 (2) 351-369
  • Gardiner, C. W. (2009): Stochastic Methods: A Handbook for the Natural and Social Sciences 4th Edition Springer-Verlag
  • Kadanoff, L. P. (2000): Statistical Physics: Statics, Dynamics, and Re-normalization World Scientific
  • Karatzas, I., and S. E. Shreve (1991): Brownian Motion and Stochastic Calculus 2nd Edition Springer-Verlag
  • Risken, H., and F. Till (1996): The Fokker-Planck Equation – Methods of Solution and Applications Springer


Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • LangevinEvolver

      public LangevinEvolver​(double elasticityCoefficient, double dampingCoefficient, double restLength, double temperature, R1StochasticDriver r1StochasticDriver) throws java.lang.Exception
      R1NoisyRelaxationDrift Constructor
      Parameters:
      elasticityCoefficient - Elastic Coefficient
      dampingCoefficient - Damping Coefficient
      restLength - Rest Length
      temperature - The Temperature
      r1StochasticDriver - The Stochastic Driver
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • elasticityCoefficient

      public double elasticityCoefficient()
      Retrieve the Elasticity Coefficient
      Returns:
      The Elasticity Coefficient

    • dampingCoefficient

      public double dampingCoefficient()
      Retrieve the Damping Coefficient
      Returns:
      The Damping Coefficient

    • restLength

      public double restLength()
      Retrieve the Rest Length
      Returns:
      The Rest Length

    • temperature

      public double temperature()
      Retrieve the Temperature
      Returns:
      The Temperature

    • equiPartitionEnergy

      public double equiPartitionEnergy()
      Retrieve the Equi-Partition Energy
      Returns:
      The Equi-Partition Energy

    • correlationTime

      public double correlationTime()
      Retrieve the Correlation Time
      Returns:
      The Correlation Time

    • stokesEinsteinEffectiveDiffusionCoefficient

      public double stokesEinsteinEffectiveDiffusionCoefficient()
      Retrieve the Stokes-Einstein Effective Diffusion Coefficient
      Returns:
      The Stokes-Einstein Effective Diffusion Coefficient

    • fluctuationCovariance

      public double fluctuationCovariance​(double t) throws java.lang.Exception
      Retrieve the Fluctuation Co-variance
      Parameters:
      t - The Time Snapshot
      Returns:
      The Fluctuation Co-variance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • fluctuationCorrelation

      public double fluctuationCorrelation​(double t) throws java.lang.Exception
      Retrieve the Fluctuation Correlation
      Parameters:
      t - The Time Snapshot
      Returns:
      The Fluctuation Correlation
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid