Interface FtAdaptedVectorFunction

  • All Known Subinterfaces:
    DriftVector
    All Known Implementing Classes:
    ConstantDriftVector, ZeroDriftVector

    public interface FtAdaptedVectorFunction
    This represents a vector-valued Ft-adapted function that depends on X(t), B(t), or even on the whole past path of B(s), s ≤ t.
    • Method Detail

      • evaluate

        Vector evaluate​(MultivariateFt ft)
        Evaluate this function, f, at time t.
        Parameters:
        ft - the filtration at time t
        Returns:
        f(t) = f(Ft)