SuanShu, a Java numerical and statistical library



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

Interface Summary
FtAdaptedRealFunction This represents an Ft-adapted function that depends on X(t), B(t), or even on the whole past path of B(s), s ≤ t.
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.
 

Class Summary
MultivariateFt This represents the concept 'Filtration', the information available at time t.
MultivariateFtWt This is a filtration implementation that includes the path-dependent information, Wt.
MultivariateSDE This class represents a multi-dimensional, continuous-time Stochastic Differential Equation (SDE) of this form: \[ dX_t = \mu(t,X_t,Z_t,...)*dt + \sigma(t, X_t, Z_t, ...)*dB_t \]
 



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