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

Interface Diffusion

All Superinterfaces:

FtAdaptedFunction, java.io.Serializable

public interface Diffusion
extends FtAdaptedFunction

This class represents the diffusion term, σ, of a univariate SDE. It has this form: σ(dt, Xt, Zt, ...).

The diffusion is an F_t adapted function.

See Also:

"Fima C. Klebaner. Introduction to Stochastic Calculus with Applications. 2nd ed. pp. 126. Imperial College Press. 2006."

Method Summary

Methods inherited from interface com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde.FtAdaptedFunction

evaluate