Package dev.nm.stat.stochasticprocess.univariate.sde
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Interface Summary Interface Description 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. -
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, 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).