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

All Known Subinterfaces:

Diffusion, Drift

All Known Implementing Classes:

XtAdaptedFunction

public interface FtAdaptedFunction

This represents a 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)