Roland Conybeare
2450ab4ed9
git-subtree-dir: xo-process git-subtree-mainline:abd08e3491git-subtree-split:7cfc560f02
73 lines
2.3 KiB
C++
73 lines
2.3 KiB
C++
/* @file StochasticProcess.hpp */
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#pragma once
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#include "AbstractStochasticProcess.hpp"
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//#include "refcnt/Refcounted.hpp"
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//#include "time/Time.hpp"
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#include <string>
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#include <utility>
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namespace xo {
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namespace process {
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// abstraction for a stochastic process.
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// - represents a probability space:
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// - a collection of paths
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// - an associated probability measure on path sapce
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// - paths may vary continuously with time
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// - need not be continuous
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// - want to be able to use in simulation,
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// in which case will likely require some discretization
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//
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template<typename T>
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class StochasticProcess : public AbstractStochasticProcess {
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public:
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using value_type = T;
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using utc_nanos = xo::time::utc_nanos;
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using event_type = std::pair<utc_nanos, T>;
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public:
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virtual ~StochasticProcess() = default;
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/* starting time for this process */
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virtual utc_nanos t0() const = 0;
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/* starting value of this process */
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virtual T t0_value() const = 0;
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/* sample this process at time t,
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* given preceding known value
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* {t1, v1}
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* with t1 < t
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*/
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virtual value_type exterior_sample(utc_nanos t,
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event_type const & lo) = 0;
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/* sample this process at time t,
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* given surrounding known values
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* {t1, v1}, {t2, v2}
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* with t1 < t < t2
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*/
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virtual value_type interior_sample(utc_nanos t,
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event_type const & lo,
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event_type const & hi) = 0;
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#ifdef NOT_IN_USE
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/* sample hitting time
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* T(a) = inf{t : P(t)=a, t>t1} for process hitting value a,
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* given preceding known value
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* {t1, v1} = {lo.first, lo.second}
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*/
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virtual utc_nanos hitting_time(T const & a,
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event_type const & lo) = 0;
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#endif
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/* human-readable string identifying this process */
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virtual std::string display_string() const = 0;
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}; /*StochasticProcess*/
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} /*namespace process*/
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} /*namespace xo*/
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/* end StochasticProcess.hpp */
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