Class SDE

    • Constructor Detail

      • SDE

        public SDE​(Drift drift,
                   Diffusion diffusion)
        Construct a univariate diffusion type stochastic differential equation.
        Parameters:
        drift - the drift, μ
        diffusion - the diffusion coefficient; σ
    • Method Detail

      • getFt

        public Ft getFt()
        Get an empty filtration of the process.
        Returns:
        an empty filtration
      • drift

        public Drift drift()
        Get the drift: \(\mu(t,X_t,Z_t,...)\).
        Returns:
        the drift
      • diffusion

        public Diffusion diffusion()
        Get the diffusion coefficient: \(\sigma(t, X_t, Z_t, ...)\).
        Returns:
        the diffusion coefficient