2.3.3. sdepy.poisson_source¶
-
class
sdepy.
poisson_source
(*, paths=1, vshape=(), dtype=<class 'int'>, lam=1.0)[source]¶ dn, a source of Poisson process increments.
Parameters: - paths : int
Number of paths (last dimension) of the source realizations.
- vshape : tuple of int
Shape of source values.
- dtype : data-type
Data type of source values. Defaults to
int
.- lam : array-like, or callable
Intensity of the Poisson process, possibly time-dependent. Should be an array of non-negative values, broadcastable to shape
vshape + (paths,)
, or a callable withlam(t)
evaluating to such array.
Returns: - array
Once instantiated as
dn
,dn(t, dt)
returns a random realization of Poisson process increments from timet
to timet + dt
, with shape(t + dt).shape + vshape + (paths,)
. The increments are independent Poisson variates with meanlam*dt
, orlam(t + dt/2)*dt
(the latter approximates the integral oflam(t)
fromt
tot + dt
).
See also
Attributes: Methods
__call__
(t, dt)See poisson_source class documentation.