2.3.9. sdepy.true_wiener_source

class sdepy.true_wiener_source(*, paths=1, vshape=(), dtype=None, corr=None, rho=None, rtol='max', t0=0.0, z0=0.0)[source]

dw, source of standard Wiener process (brownian motion) increments with memory.

Parameters:
paths, vshape, dtype, corr, rho

See wiener_source class documentation.

rtol, t0, z0

See true_source class documentation.
Returns:
array

Once instantiated as dw, dw(t) returns z0 plus a realization of the standard Wiener process increment from time t0 to t, and dw(t, dt) returns dw(t + dt) - dw(t). The returned values follow a probability distribution conditional on values realized in previous calls.

Notes

For time-dependent correlations the result is approximate, mind running a first evaluation on a sequence of consecutive closely spaced time points in the region of interest.

Attributes:
size

Returns the number of stored scalar values from previous evaluations, or 0 for sources without memory.

t

Returns a copy of the time points at which source values have been stored from previous evaluations, as an array, or an empty array for sources without memory.

Methods

See source and true_source methods.