2.4.2.2. sdepy.integrator.dZ¶
-
integrator.
dZ
(t, dt)[source]¶ Value of the SDE differentials at time t, for time increment dt.
Example of expected code for the SDE
dx = (1 - x)*dt + 2*dw(t)
, wherex
has two components:shape = (2, self.paths) return { 'dt': dt, 'dw': wiener_source(vshape=2, paths=self.paths)(0, dt) }
The
SDE
class takes care of instantiating user-specified stochasticity sources and casting them into this format.