SDE (NM DEV API (v1.2.4) by NM)

java.lang.Object
- dev.nm.stat.stochasticprocess.univariate.sde.SDE

Direct Known Subclasses:

GBMProcess, OrnsteinUhlenbeckProcess
```
public class SDE
extends Object
```
This class represents a univariate, continuous-time Stochastic Differential Equation (SDE) of the following form. \[ dX_t = \mu(t,X_t,Z_t,...)*dt + \sigma(t, X_t, Z_t, ...)*dB_t \]

See Also:

Wikipedia: Stochastic differential equation

Constructor Summary

Constructors
Constructor Description

SDE(Drift drift, Diffusion diffusion)
Construct a univariate diffusion type stochastic differential equation.

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type	Method	Description
`Diffusion`	`diffusion()`	Get the diffusion coefficient: \(\sigma(t, X_t, Z_t, ...)\).
`Drift`	`drift()`	Get the drift: \(\mu(t,X_t,Z_t,...)\).
`Ft`	`getFt()`	Get an empty filtration of the process.

Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

- 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