2.3.6. sdepy.even_poisson_source

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

dn, a source of Poisson process increments with antithetic paths exposing identical increments.

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

See also

source

poisson_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__