Interface DiscreteSDE
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- All Known Implementing Classes:
BMSDE
,EulerSDE
,MilsteinSDE
public interface DiscreteSDE
This interface represents the discrete approximation of a univariate SDE. We specify an SDE in the differential form, i.e., by its increments.
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Method Summary
All Methods Instance Methods Abstract Methods Modifier and Type Method Description double
dXt(Ft ft)
This is the SDE specification of a stochastic process.Ft
getNewFt()
Get an empty filtration of the process.
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