com.imsl.math

Interface FeynmanKac.PdeCoefficients

Enclosing class:

FeynmanKac

public static interface FeynmanKac.PdeCoefficients

Public interface for user supplied PDE coefficients in the Feynman-Kac PDE.

Method Summary

Modifier and Type	Method and Description
double	kappa(double x, double t) Returns the value of the $\kappa$ coefficient at the given point.
double	mu(double x, double t) Returns the value of the $\mu$ coefficient at the given point.
double	sigma(double x, double t) Returns the value of the $\sigma$ coefficient at the given point.
double	sigmaPrime(double x, double t) Returns the value of $\sigma^\prime=\frac{\partial \sigma(x,t)}{\partial x}$ at the given point.

Method Detail

sigma

double sigma(double x,
             double t)

Returns the value of the $\sigma$ coefficient at the given point.

Time dependency of $\sigma$ can be controlled via method setTimeDependence. Use of this method will usually yield a more efficient algorithm because some finite element matrices do not have to be reassembled for each t value.

Parameters:

x - a double, the point in space at which $\sigma$ is to be evaluated.

t - a double, the time point at which $\sigma$ is to be evaluated.

Returns:

a double, the value of $\sigma$ at (x,t).

sigmaPrime

double sigmaPrime(double x,
                  double t)

Returns the value of $\sigma^\prime=\frac{\partial \sigma(x,t)}{\partial x}$ at the given point.

Time dependency of $\sigma^\prime$ can be controlled via method setTimeDependence. Use of this method will usually yield a more efficient algorithm because some finite element matrices do not have to be reassembled for each t value.

Parameters:

x - a double, the point in space at which $\sigma^\prime$ is to be evaluated.

t - a double, the time point at which $\sigma^\prime$ is to be evaluated.

Returns:

a double, the value of $\sigma^\prime$ at (x,t).

mu

double mu(double x,
          double t)

Returns the value of the $\mu$ coefficient at the given point.

Time dependency of $\mu$ can be controlled via method setTimeDependence. Use of this method will usually yield a more efficient algorithm because some finite element matrices do not have to be reassembled for each t value.

Parameters:

x - a double, the point in space at which $\mu$ is to be evaluated.

t - a double, the time point at which $\mu$ is to be evaluated.

Returns:

a double, the value of $\mu$ at (x,t).

kappa

double kappa(double x,
             double t)

Returns the value of the $\kappa$ coefficient at the given point.

Time dependency of $\kappa$ can be controlled via method setTimeDependence. Use of this method will usually yield a more efficient algorithm because some finite element matrices do not have to be reassembled for each t value.

Parameters:

x - a double, the point in space at which $\kappa$ is to be evaluated.

t - a double, the time point at which $\kappa$ is to be evaluated.

Returns:

a double, the value of $\kappa$ at (x,t).