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

Interface Drift

All Superinterfaces:

FtAdaptedFunction, java.io.Serializable

public interface Drift
extends FtAdaptedFunction

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

The drift 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