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).