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

Interface FtAdaptedRealFunction

All Superinterfaces:

java.io.Serializable

public interface FtAdaptedRealFunction
extends java.io.Serializable

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

Modifier and Type	Method and Description
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)