Package org.drip.dynamics.process

Class R1ProbabilityDensityFunction

java.lang.Object
org.drip.dynamics.process.R1ProbabilityDensityFunction
All Implemented Interfaces:
R2ToR1
Direct Known Subclasses:
R1ProbabilityDensityFunctionCIR
public abstract class R1ProbabilityDensityFunction
extends java.lang.Object
implements R2ToR1
R1ProbabilityDensityFunction exposes the R1 Probability Density Function Evaluation 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


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    R1ProbabilityDensityFunction()  

  • Method Summary

    Modifier and Type Method Description
    abstract double density​(TimeR1Vertex r1TimeVertex)
    Calculates the PDF Density Value
    double evaluate​(double t, double x)
    Evaluate for the given variate Pair

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • R1ProbabilityDensityFunction

      public R1ProbabilityDensityFunction()

  • Method Details

    • density

      public abstract double density​(TimeR1Vertex r1TimeVertex) throws java.lang.Exception
      Calculates the PDF Density Value
      Parameters:
      r1TimeVertex - The R1 Property Variate/Time Coordinate Vertex
      Returns:
      The PDF Density Value
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • evaluate

      public double evaluate​(double t, double x) throws java.lang.Exception
      Description copied from interface: R2ToR1
      Evaluate for the given variate Pair
      Specified by:
      evaluate in interface R2ToR1
      Parameters:
      t - X
      x - Y
      Returns:
      Returns the calculated value
      Throws:
      java.lang.Exception - Thrown if evaluation cannot be done