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

Interface Drift

All Superinterfaces:

FtAdaptedVectorFunction, java.io.Serializable

All Known Implementing Classes:

ConstantDrift, ZeroDrift

public interface Drift
extends FtAdaptedVectorFunction

This represents the drift term, μ, of an SDE. It is of this form: μ(dt, Xt, Zt, ...).

Note that we are passing in the time differential, dt, instead of the time itself. If we want to compute for a time t, the subclass would need to accumulate the dts explicitly.

See Also:

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

Method Summary

Methods inherited from interface com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde.FtAdaptedVectorFunction

evaluate