# SuanShu, a Java numerical and statistical library

com.numericalmethod.suanshu.stats.stochasticprocess.multivariate.sde.discrete

## Interface MultivariateDiscreteSDE

• All Known Implementing Classes:
MultivariateBrownianSDE, MultivariateEulerSDE

public interface MultivariateDiscreteSDE
This interface represents the discrete approximation of a multivariate SDE. We specify an SDE in the differential form, i.e., by its increments.
• ### Method Summary

All Methods
Modifier and Type Method and Description
Vector dXt(MultivariateFt ft)
This is the SDE specification of a stochastic process.
MultivariateFt getNewFt()
Get an empty filtration of the process.
int nB()
Get the number of independent driving Brownian motions.
• ### Method Detail

• #### nB

int nB()
Get the number of independent driving Brownian motions.
Returns:
the number of independent driving Brownian motions
• #### getNewFt

MultivariateFt getNewFt()
Get an empty filtration of the process.
Returns:
an empty filtration
• #### dXt

Vector dXt(MultivariateFt ft)
This is the SDE specification of a stochastic process.
Parameters:
ft - filtration
Returns:
the increment of the process in dt