2.4.2.2. sdepy.integrator.dZ

integrator.dZ(t, dt)

Value of the SDE differentials at time t, for time increment dt.

Example of expected code for the SDE dx = (1 - x)*dt + 2*dw(t), where x has two components:

shape = (2, self.paths)
return {
    'dt': dt,
    'dw': wiener_source(vshape=2, paths=self.paths)(0, dt)
    }

The SDE class takes care of instantiating user-specified stochasticity sources and casting them into this format.