dev.nm.stat.stochasticprocess.univariate.sde.discrete

Interface DiscreteSDE

All Known Implementing Classes:

BMSDE, EulerSDE, MilsteinSDE

public interface DiscreteSDE

This interface represents the discrete approximation of a univariate SDE. We specify an SDE in the differential form, i.e., by its increments.

Method Summary

Modifier and Type	Method and Description
double	dXt(Ft ft) This is the SDE specification of a stochastic process.
Ft	getNewFt() Get an empty filtration of the process.

Method Detail

getNewFt

Ft getNewFt()

Get an empty filtration of the process.

Returns:

an empty filtration

dXt

double dXt(Ft ft)

This is the SDE specification of a stochastic process.

Parameters:

ft - filtration

Returns:

the increment of the process in dt