2.3.5. sdepy.odd_wiener_source¶
-
class
sdepy.
odd_wiener_source
(*, paths=2, vshape=(), **args)[source]¶ dw, a source of standard Wiener process (Brownian motion) increments with antithetic paths exposing opposite increments (averages exactly to 0 across paths).
Once instantiated as
dw
withpaths=2*K
paths,x = dw(t, dt)
consists of leadingK
paths with independent increments, and trailingK
paths consisting of a copy of the leading paths with sign reversed (x[..., i] == -x[..., K + i]
).See also
Attributes: Methods
__call__