Interface | Description |
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FtAdaptedFunction |
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.
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Class | Description |
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Ft |
This represents the concept 'Filtration', the information available at time t.
|
FtWt |
This is a filtration implementation that includes the path-dependent information,
Wt.
|
SDE |
This class represents a univariate, continuous-time Stochastic Differential Equation (SDE) of
the following form.
|
XtAdaptedFunction |
This represents an Ft-adapted function that depends only on X(t).
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