Package 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
    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 Details

    • 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).