sdepy.cox_ingersoll_ross_SDE.sde¶

cox_ingersoll_ross_SDE.sde(s, x, theta=1.0, k=1.0, xi=1.0)[source]¶

Stochastic Differential Equation (SDE) to be integrated.

Parameters:

t : float: Time point at which the SDE should be evaluated.
x : array: Values that the stochastic process takes at time t.
sde_args : zero or more arrays, as keyword arguments: SDE parameters, as implied by the sde method signature. Passed upon instantiation of the SDE class as possibly time-dependent array-like, these parameters are served to the sde method once evaluated at t and converted to arrays via np.asarray.

Returns:

sde_terms : dict of arrays: Contains, for each differential stated in the source attribute, the value of the corresponding coefficient in the represented SDE.

Notes

x should be treated as read-only.