Package org.drip.dynamics.physical

Class R1WhiteThermalFrictionalNoise

java.lang.Object
org.drip.dynamics.ito.R1ToR1Volatility
org.drip.dynamics.physical.R1WhiteThermalFrictionalNoise
All Implemented Interfaces:
R2ToR1
public class R1WhiteThermalFrictionalNoise
extends R1ToR1Volatility
R1WhiteThermalFrictionalNoise implements the Volatility Function induced by the Background Thermal Noise in a Friction-Elastic System. 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 Summary

    Constructors
    Constructor Description
    R1WhiteThermalFrictionalNoise​(double temperature, double dampingCoefficient)
    R1WhiteThermalFrictionalNoise Constructor

  • Method Summary

    Modifier and Type Method Description
    double dampingCoefficient()
    Retrieve the Damping Coefficient
    double temperature()
    Retrieve the Temperature
    double volatility()
    Retrieve the Volatility
    double volatility​(TimeR1Vertex r1TimeVertex)
    Calculates the Volatility Value

    Methods inherited from class org.drip.dynamics.ito.R1ToR1Volatility

    evaluate

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • R1WhiteThermalFrictionalNoise

      public R1WhiteThermalFrictionalNoise​(double temperature, double dampingCoefficient) throws java.lang.Exception
      R1WhiteThermalFrictionalNoise Constructor
      Parameters:
      temperature - The Temperature
      dampingCoefficient - The Damping Coefficient
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • temperature

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

    • dampingCoefficient

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

    • volatility

      public double volatility()
      Retrieve the Volatility
      Returns:
      The Volatility

    • volatility

      public double volatility​(TimeR1Vertex r1TimeVertex) throws java.lang.Exception
      Description copied from class: R1ToR1Volatility
      Calculates the Volatility Value
      Specified by:
      volatility in class R1ToR1Volatility
      Parameters:
      r1TimeVertex - The R1 Property Variate/Time Coordinate Vertex
      Returns:
      The Volatility Value
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid