Interface FtAdaptedFunction

  • All Known Subinterfaces:
    Diffusion, Drift
    All Known Implementing Classes:
    XtAdaptedFunction

    public interface FtAdaptedFunction
    This represents an 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

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