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

public interface FtAdaptedRealFunction

This represents a real-valued F_t-adapted function that depends on X(t), B(t), or even on the whole past path of B(s), s ≤ t.

See Also:

"Fima C. Klebaner. Introduction to Stochastic Calculus with Applications. 2nd ed. Section 4.7. Imperial College Press. 2006."

Method Summary

double

evaluate(Ft ft) Evaluate this function, f, at time t.

Method Detail

evaluate

double evaluate(Ft ft)

Evaluate this function, f, at time t.

Parameters:

ft - the filtration at time t

Returns:

f(t) = f(F_t)