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

All Known Implementing Classes:

Brownian, Euler, Milstein, RandomWalk

public interface DiscretizedSDE

This interface represents the discretized version of a univariate SDE.

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

Method Summary

double	dXt(Ft ft) This is the SDE specification of the stochastic process.
Ft	getNewFt() Get an empty filtration for the process.

Method Detail

getNewFt

Ft getNewFt()

Get an empty filtration for the process.

Returns:

an empty filtration

dXt

double dXt(Ft ft)

This is the SDE specification of the stochastic process.

Parameters:

ft - filtration

Returns:

the increment of the process in dt