Package dev.nm.stat.stochasticprocess.univariate.sde

Interface Summary

Interface	Description
FtAdaptedFunction	This represents an \(F_{t}-adapted\) function that depends on X(t), B(t), or even on the whole past path of B(s), s ≤ t.

Class Summary

Class	Description
Ft	This represents the concept 'Filtration', the information available at time t.
FtWt	This is a filtration implementation that includes the path-dependent information, \(W_{t}\).
SDE	This class represents a univariate, continuous-time Stochastic Differential Equation (SDE) of the following form. \[ dX_t = \mu(t,X_t,Z_t,...)
XtAdaptedFunction	This represents an \(F_{t}-adapted\) function that depends only on X(t).