2.5.11. sdepy.kou_jumpdiff_process¶
-
class
sdepy.
kou_jumpdiff_process
(paths=1, vshape=(), dtype=None, steps=None, i0=0, info=None, getinfo=True, method='euler', x0=1., mu=0., sigma=1., dw=None, corr=None, rho=None, dj=None, dn=None, ptype=int, lam=1., a=0.5, b=0.5, pa=0.5)[source]¶ Double exponential (Kou) jump-diffusion process (jump-diffusion process with double exponential jump size distribution).
Same as
jumpdiff_process
, where they
parameter is specialized todouble_exp_rv(a, b, pa)
, a double exponential variate with scalea(t)
with probabilitypa(t)
, and-b(t)
with probability(1 - pa(t))
.See also
Attributes: - See SDE class documentation.
Methods
See SDE class documentation.