FeynmanKac.PdeCoefficients (JMSL Numerical Library)

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JMSL^TM Numerical Library 6.0

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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
`double`	`kappa(double x, double t)` Returns the value of the coefficient at the given point.
`double`	`mu(double x, double t)` Returns the value of the coefficient at the given point.
`double`	`sigma(double x, double t)` Returns the value of the 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

kappa

double kappa(double x,
             double t)

Returns the value of the

coefficient at the given point.

Time dependency of 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 is to be evaluated.; t - a double, the time point at which is to be evaluated.
Returns:: a double, the value of at (x,t).

mu

double mu(double x,
          double t)

Returns the value of the

coefficient at the given point.

Parameters:: x - a double, the point in space at which is to be evaluated.; t - a double, the time point at which is to be evaluated.
Returns:: a double, the value of at (x,t).

sigma

double sigma(double x,
             double t)

Returns the value of the

coefficient at the given point.

Parameters:: x - a double, the point in space at which is to be evaluated.; t - a double, the time point at which is to be evaluated.
Returns:: a double, the value of 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.

Parameters:: x - a double, the point in space at which is to be evaluated.; t - a double, the time point at which is to be evaluated.
Returns:: a double, the value of at (x,t).