/**
 *
 * @author horacio a. aliaga
 */

/** Integrates the stochastic equation:
 * dX = a(X) dt + b(X) dW
 * up to order 4, using the Ito-Taylor scheme and strong convergence.
 * It needs a(X) and its first and second derivatives with respect of X, 
 * and b(X) and its first, second and third derivatives with respect of X. 
 * The initial value X0 of X is needed as well as dt.
 */
#ifndef SDEINTEGRATOR_H
#define SDEINTEGRATOR_H

class SDEIntegrator {
public: 
	double X0, X; 
	double dwt, dwt2, dt,dZ;
	double a, d_a, dd_a;
	double b, d_b, dd_b, ddd_b;
        
    /** Creates a new instance of SDEIntegrator */
public: 
	SDEIntegrator();
	SDEIntegrator(double,double,double,
		          double,double,double,
				  double,double,double) ;
	void set_SDEIntegrator(double,double,double,
                           double,double,double,
                           double,double,double);
    /** sets the value of a(X) */
	void set_a(double);
    /** sets the value of da(X)/dX */
	void set_d_a(double);
    /** sets the value of d^2a(X)/dX^2 */
	void set_dd_a(double);
    /** sets the value of b(X) */
	void set_b(double);
    /** sets the value of db(X)/dX */
	void set_d_b(double);
    /** sets the value of d^2a(X)/dX^2 */
	void set_dd_b(double);
    /** sets the value of d^3a(X)/dX^3 */
	void set_ddd_b(double);
    /** sets the value of dZ, a gaussian random variable
     generated using combining the two independent gaussian 
     random variables dwt and dwt2 */
	void set_dZ(double,double,double);
    /** sets the random gaussian variables dwt and dwt2*/
	void set_dW(double);
    /** sets the time step dt */
	void set_dt(double);
    /** sets the initials value of X(0)=X0*/
	void set_X0(double);
	void set_X(double);
    /** gets the value of a(X)*/
	double get_a();
    /** gets the value of da(X)/dX*/
	double get_d_a();
    /** gets the value of d^2a(X)/dX^2*/
	double get_dd_a();
    /** gets the value of b(X)*/
	double get_b();
    /** gets the value of db(X)/dX*/
	double get_d_b();
    /** gets the value of d^2b(X)/dX^2*/
	double get_dd_b();
    /** gets the value of d^3b(X)/dX^3*/
	double get_ddd_b();
    /** gets the value dZ(dt)*/
	double get_dZ();
    /** gets the value of dt*/
	double get_dt();
    /** gets the value of dwt*/
	double get_dwt();
    /** gets the value of dwt2*/
	double get_dwt2();
    /** gets the value of X0*/
	double get_X0();
	double get_X();
    /** Order zero in series of terms comprising the integration*/
	double Strong_Integrator_Zero();
    /** Order one in series of terms comprising the integration*/
	double Strong_Integrator_First();
    /** Order second in series of terms comprising the integration*/
	double Strong_Integrator_Second();
    /** Order three in series of terms comprising the integration*/
	double Strong_Integrator_Third();
    /** Order four in series of terms comprising the integration, it 
     requires the calculation of the Stratonovich Integrals J011, 
     J101 and J011*/
	double Strong_Integrator_Fourth();
    /** generates the dZ correlated random variable */
private: double generate_X_Y(double,double,double);
    /** calculates the multiple stratonovich integrals:
     * J1, J01, J10, J11, J110, J101 and J011 */ 
public: double* J_XXX(double,double);
   /** Polar Marsaglia generator of random gaussian variables 
    dwt and dwt2, with variance dt */
private: double* pol_mas(double);
};

#endif SDEINTEGRATOR_H