Library for stochastic process simulation
Project description
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
- Self-Avoiding Walks (SAW), Schramm-Loewner Evolution (SLE)
To install : pip install ito-diffusions https://pypi.org/project/ito-diffusions/
For numerous examples : https://github.com/sauxpa/stochastic
Project details
Release history Release notifications | RSS feed
Download files
Download the file for your platform. If you're not sure which to choose, learn more about installing packages.
Source Distribution
ito_diffusions-1.1.1.tar.gz
(1.4 kB
view hashes)
Built Distribution
Close
Hashes for ito_diffusions-1.1.1-py3-none-any.whl
Algorithm | Hash digest | |
---|---|---|
SHA256 | 01a3953e781b28e1976f7b1a9f2d7a2adf295817a44082ad5b4267f6634d8a8b |
|
MD5 | ff3821973a0a9c0eb73571e79dbf0553 |
|
BLAKE2b-256 | 866e11d80d9d156ac55661acdb385a68e7039546bd095a8eaa7fdfe7315998fd |