com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde
Interface DiscretizedSDE

All Known Implementing Classes:

Brownian, Euler, RandomWalk

public interface DiscretizedSDE

This interface represents the discretized version of a multivariate SDE.

We specify an SDE in the differential form, i.e., by its increments.

Method Summary

Vector	dXt(Ft ft) This is the SDE specification of a stochastic process.
Ft	getNewFt() Get an empty filtration for the process.
int	nB() Get the number of independent driving Brownian motions.

Method Detail

nB

int nB()

Get the number of independent driving Brownian motions.

Returns:

number of independent driving Brownian motions

getNewFt

Ft getNewFt()

Get an empty filtration for the process.

Returns:

an empty filtration

dXt

Vector dXt(Ft ft)

This is the SDE specification of a stochastic process.

Parameters:

ft - filtration

Returns:

the increment of the process in dt