initial implementation

include/xo/process/StochasticProcess.hpp

@@ -0,0 +1,73 @@
+/* @file StochasticProcess.hpp */
+
+#pragma once
+
+#include "AbstractStochasticProcess.hpp"
+//#include "refcnt/Refcounted.hpp"
+//#include "time/Time.hpp"
+#include <string>
+#include <utility>
+
+namespace xo {
+    namespace process {
+
+// abstraction for a stochastic process.
+// - represents a probability space:
+//   - a collection of paths
+//   - an associated probability measure on path sapce
+// - paths may vary continuously with time
+// - need not be continuous
+// - want to be able to use in simulation,
+//   in which case will likely require some discretization
+//
+        template<typename T>
+        class StochasticProcess : public AbstractStochasticProcess {
+        public:
+            using value_type = T;
+            using utc_nanos = xo::time::utc_nanos;
+            using event_type = std::pair<utc_nanos, T>;
+
+        public:
+            virtual ~StochasticProcess() = default;
+
+            /* starting time for this process */
+            virtual utc_nanos t0() const = 0;
+
+            /* starting value of this process */
+            virtual T t0_value() const = 0;
+
+            /* sample this process at time t,
+             * given preceding known value
+             *   {t1, v1}
+             * with t1 < t
+             */
+            virtual value_type exterior_sample(utc_nanos t,
+                                               event_type const & lo) = 0;
+
+            /* sample this process at time t,
+             * given surrounding known values
+             *   {t1, v1}, {t2, v2}
+             * with t1 < t < t2
+             */
+            virtual value_type interior_sample(utc_nanos t,
+                                               event_type const & lo,
+                                               event_type const & hi) = 0;
+
+#ifdef NOT_IN_USE
+            /* sample hitting time
+             *    T(a) = inf{t : P(t)=a, t>t1} for process hitting value a,
+             * given preceding known value
+             *   {t1, v1} = {lo.first, lo.second}
+             */
+            virtual utc_nanos hitting_time(T const & a,
+                                           event_type const & lo) = 0;
+#endif
+
+            /* human-readable string identifying this process */
+            virtual std::string display_string() const = 0;
+        }; /*StochasticProcess*/
+
+    } /*namespace process*/
+} /*namespace xo*/
+
+/* end StochasticProcess.hpp */