Interface MultivariateDiscreteSDE
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- 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.
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Method Summary
All Methods Instance Methods Abstract Methods Modifier and Type Method Description Vector
dXt(MultivariateFt ft)
This is the SDE specification of a stochastic process.MultivariateFt
getNewFt()
Get an empty filtration of the process.int
nB()
Get the number of independent driving Brownian motions.
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Method Detail
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nB
int nB()
Get the number of independent driving Brownian motions.- Returns:
- the number of independent driving Brownian motions
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getNewFt
MultivariateFt getNewFt()
Get an empty filtration of the process.- Returns:
- an empty filtration
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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
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