2.3.7. sdepy.even_cpoisson_source

class sdepy.even_cpoisson_source(*, paths=2, vshape=(), **args)

dj, a source of compound Poisson process increments (jumps) with antithetic paths exposing identical increments.

Once instantiated as dj with paths=2*K paths, x = dj(t, dt) consists of leading K paths with independent increments, and trailing K paths consisting of a copy of the leading paths: x[..., i] equals x[..., K + i]. Intended to be used together with odd_wiener_source to generate antithetic paths in jump-diffusion processes.

See also

source

cpoisson_source

Attributes:

size

Returns the number of stored scalar values from previous evaluations, or 0 for sources without memory.

t

Returns a copy of the time points at which source values have been stored from previous evaluations, as an array, or an empty array for sources without memory.

Methods

__call__