JMSLTM Numerical Library 6.1

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 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

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).

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).

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).

JMSLTM Numerical Library 6.1

Copyright © 1970-2010 Visual Numerics, Inc.
Built July 30 2010.