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

Interface FtAdaptedVectorFunction

All Superinterfaces:

java.io.Serializable

All Known Subinterfaces:

Drift

All Known Implementing Classes:

ConstantDrift, ZeroDrift

public interface FtAdaptedVectorFunction
extends java.io.Serializable

This represents a vector-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
Vector	evaluate(Ft ft) Evaluate this function, f, at time t.

Method Detail

evaluate

Vector evaluate(Ft ft)

Evaluate this function, f, at time t.

Parameters:

ft - the filtration at time t

Returns:

f(t) = f(F_t)