Class BrownianMotion

• Defined in File brownian_motion.hpp

Inheritance Relationships

Base Type

• public otyca::LevyProcess (Class LevyProcess)

Class Documentation

class BrownianMotion : public otyca::LevyProcess

Standard Brownian motion process.

Represents a continuous-time stochastic process with independent, normally distributed increments.

Inherits from the LevyProcess base class.

Public Functions

inline virtual BrownianMotion *clone() const

Clone the current LevyProcess instance.

Returns:

A pointer to a newly allocated copy.

inline BrownianMotion()

inline BrownianMotion(double sigma)

virtual arma::cx_colvec characteristic_exponent(const arma::cx_colvec &u) const override

Compute the characteristic exponent at a set of frequencies.

Parameters:

u – Complex-valued column vector of Fourier arguments.

Returns:

characteristic exponent vector.

virtual std::vector<arma::cx_colvec> characteristic_exponent_derivatives(const arma::cx_colvec &u) const override

Compute the derivatives of the characteristic exponent.

Parameters:

u – Complex-valued column vector of Fourier arguments.

Returns:

A vector of derivatives of characteristic exponent with respect to parameters

inline double get_sigma() const

inline void set_sigma(double _sigma)

virtual std::vector<double> transformation_derivatives() const

Get derivatives of the transformation with respect to the raw parameters.

Used for Jacobian computation during calibration.

Returns:

A vector of derivatives (default: all 1).

virtual void set_transformed_calibration_parameters(const std::vector<double>&)

set the transformed parameters for calibration.

Parameters:

transformed_calibration_parameters – the transformed calibration parameters

inline virtual void set_parameters(const std::vector<double> &parameters)

Set the model’s raw parameters.

Parameters:

parameters – A vector of new parameter values.

virtual std::vector<double> get_transformed_calibration_parameters() const

get the transformed parameters for calibration.

Returns:

the transformed parameters for calibration

inline virtual std::vector<double> get_parameters() const

Get the model’s raw parameters.

Returns:

A vector containing the model’s parameters.

virtual std::vector<double> get_transformed_calibration_parameter_variances() const

inline virtual std::string name() const

Get the model’s name.

Returns:

A string representing the name of the model.

inline virtual std::vector<std::string> get_parameter_names() const

Get the names of the model parameters.

Default implementation assigns names as “p1”, “p2”, etc.

Returns:

A vector of parameter names.