Interface MultivariateDiscreteSDE

  • All Known Implementing Classes:
    MultivariateBrownianSDE, MultivariateEulerSDE

    public interface MultivariateDiscreteSDE
    This interface represents the discrete approximation of a multivariate SDE. We specify an SDE in the differential form, i.e., by its increments.
    • Method Detail

      • nB

        int nB()
        Get the number of independent driving Brownian motions.
        Returns:
        the number of independent driving Brownian motions
      • getNewFt

        MultivariateFt getNewFt()
        Get an empty filtration of the process.
        Returns:
        an empty filtration
      • dXt

        Vector dXt​(MultivariateFt ft)
        This is the SDE specification of a stochastic process.
        Parameters:
        ft - filtration
        Returns:
        the increment of the process in dt