Interface DiscreteSDE

  • 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.
    • Method Detail

      • getNewFt

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

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