RandomWalk.hpp File Reference

#include <cmath>
#include <janus/janus.hpp>

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Classes
struct	vulcan::random_walk::State< Scalar >
	Random walk process state. More...
struct	vulcan::random_walk::Coeffs
	Pre-computed random walk coefficients. More...

Namespaces
namespace	vulcan
namespace	vulcan::random_walk

Functions
template<typename Scalar>
State< Scalar >	vulcan::random_walk::init_state ()
	Initialize random walk state to zero.
Coeffs	vulcan::random_walk::compute_coeffs (double K, double dt)
	Compute random walk coefficients.
template<typename Scalar>
Scalar	vulcan::random_walk::step (State< Scalar > &state, const Coeffs &coeffs, const Scalar &noise_input)
	Step the random walk process.
template<typename Scalar>
Scalar	vulcan::random_walk::step (State< Scalar > &state, double K, double dt, const Scalar &noise_input)
	Step random walk with inline coefficient computation.
double	vulcan::random_walk::expected_variance (double K, double t)
	Compute expected variance at given time.
double	vulcan::random_walk::expected_stddev (double K, double t)
	Compute expected standard deviation at given time.