- All Superinterfaces:
- FtAdaptedFunction
public interface Diffusion
extends FtAdaptedFunction
This class represents the diffusion term, σ, of a univariate SDE.
It has this form: \(\sigma(t, X_t, Z_t, ...)\).
The diffusion is an Ft adapted function.
- See Also:
- "Fima C. Klebaner, "pp. 126," Introduction to Stochastic Calculus with Applications, 2nd ed, Imperial College Press, 2006."