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

Interface FtAdaptedFunction

All Superinterfaces:

java.io.Serializable

All Known Subinterfaces:

Diffusion, Drift

All Known Implementing Classes:

XtAdaptedFunction

public interface FtAdaptedFunction
extends java.io.Serializable

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

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)