SuanShu, a Java numerical and statistical library



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 Ft-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(Ft)


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