Interface RandomProcess<D extends Distribution>

All Known Subinterfaces:
Process1D.ComponentProcess<D>
All Known Implementing Classes:
AbstractProcess, GaussianProcess, GeometricBrownianMotion, MultipleValuesBasedProcess, PoissonProcess, SingleValueBasedProcess, StationaryNormalProcess, WienerProcess

public interface RandomProcess<D extends Distribution>
A random/stochastic process (a series of random variables indexed by time or space) representing the evolution of some random value. The key thing you can do with a random process is to ask for its distribution at a given (future) time.
  • Method Details

    • getDistribution

      D getDistribution(double evaluationPoint)
      Parameters:
      evaluationPoint - How far into the future?
      Returns:
      The distribution for the process value at that future time.
    • simulate

      RandomProcess.SimulationResults simulate(int numberOfRealisations, int numberOfSteps, double stepSize)
      Returns an collection of sample sets. The array has numberOfSteps elements, and each sample set has numberOfRealisations samples.