ito-diffusions 1.4.1

Library for stochastic process simulation

ito_diffusions

Libraries for stochastic processes simulation and visualization including:

• Ito diffusion : Brownian motion, Geometric Brownian motion, Vasicek, CIR...
• Jump processes : Ito diffusion driven by a Levy process i.e with a jump component with a given intensity and jump size distribution;
• Multidimensional processes, stochastic volatility diffusions (SABR...);
• Fractional Brownian motion, Karhunen-Loeve expansion, fractional diffusions;
• Times series models (AR, MA, ARMA, ARCH, GARCH, NAGARCH...);
• Self-Avoiding Walks (SAW), Schramm-Loewner Evolution (SLE).

To install : pip install ito-diffusions https://pypi.org/project/ito-diffusions/

To test : python -m pytest

For numerous examples : https://github.com/sauxpa/stochastic