2.4.5. sdepy.integrate¶
-
sdepy.
integrate
(sde=None, *, q=None, sources=None, log=False, addaxis=False)[source]¶ Decorator for Ito Stochastic Differential Equation (SDE) integration.
Decorates a function representing the SDE or SDEs into the corresponding integrator (a subclass of
SDE
orSDEs
and ofintegrator
).Parameters: - sde : function
Function to be wrapped. Its signature and values should be as expected for the
sde
method of theSDE
orSDEs
classes.- q : int
Number of equations. If
None
, attempts a test evaluation ofsde
to find out.- sources : set
Stochasticity sources used in the equation. If
None
, attempts a test evaluation ofsde
to find out.- log : bool
Sets the
log
attribute for the wrapping class.- addaxis : bool
Sets the
addaxis
attribute for the wrapping class.
Examples
>>> from sdepy import integrate >>> @integrate ... def my_process(t, x, theta=1., k=1., sigma=1.): ... return {'dt': k*(theta - x), 'dw': sigma}
>>> P = my_process(x0=1, sigma=0.5, paths=100*1000, steps=100) >>> x = P(timeline=(0., 0.5, 1.)) >>> x.shape (3, 100000)