com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde
Class XtAdaptedFunction

java.lang.Object
  com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde.XtAdaptedFunction

All Implemented Interfaces:

FtAdaptedFunction

public abstract class XtAdaptedFunction
extends java.lang.Object
implements FtAdaptedFunction

This represents a F_t-adapted function that depends only on X(t).

See Also:

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

Constructor Summary

XtAdaptedFunction()

Method Summary

abstract double	evaluate(double Xt) Evaluate this function, f, based on only the current value of the stochastic process.
double	evaluate(Ft ft) Evaluate this function, f, at time t.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

XtAdaptedFunction

public XtAdaptedFunction()

Method Detail

evaluate

public abstract double evaluate(double Xt)

Evaluate this function, f, based on only the current value of the stochastic process.

Parameters:

Xt - the current value of the stochastic process

Returns:

f(X_t)

evaluate

public double evaluate(Ft ft)

Description copied from interface: FtAdaptedFunction

Evaluate this function, f, at time t.

Specified by:

evaluate in interface FtAdaptedFunction

Parameters:

ft - the filtration at time t

Returns:

f(t) = f(F_t)