Package dev.nm.stat.stochasticprocess.univariate.sde

Interface FtAdaptedFunction

All Known Subinterfaces:

Diffusion, Drift

All Known Implementing Classes:

XtAdaptedFunction

public interface FtAdaptedFunction

This represents an F_t-adapted function that depends on X(t), B(t), or even on the whole past path of B(s), s ≤ t.

Method Summary

Modifier and Type	Method	Description
double	evaluate(Ft ft)	Evaluate this function, f, at time 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(F_t)