2.3.5. sdepy.odd_wiener_source

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

dw, a source of standard Wiener process (Brownian motion) increments with antithetic paths exposing opposite increments (averages exactly to 0 across paths).

Once instantiated as dw with paths=2*K paths, x = dw(t, dt) consists of leading K paths with independent increments, and trailing K paths consisting of a copy of the leading paths with sign reversed (x[..., i] == -x[..., K + i]).

See also

wiener_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__