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

All Known Subinterfaces:

DriftVector

All Known Implementing Classes:

ConstantDriftVector, ZeroDriftVector

public interface FtAdaptedVectorFunction

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

Method Summary

Vector

evaluate(MultivariateFt ft) Evaluate this function, f, at time t.

Method Detail

evaluate

Vector evaluate(MultivariateFt ft)

Evaluate this function, f, at time t.

Parameters:

ft - the filtration at time t

Returns:

f(t) = f(F_t)