2.2.1.29. sdepy.process.chf

process.chf(t=None, u=None)

Characteristic function of the probability distribution of process values.

p.chf(t, u) estimates the characteristic function of interpolated process values p(t) at time(s) t. p.chf(u) is a shorthand for p.chf(p.t, u) (no interpolation).

Parameters:

t : array-like, optional

Time points at which to compute the characteristic function. If omitted or None, the entire process timeline is used.

u : array-like, mandatory

Values at which to evaluate the characteristic function.

Returns:

array

Returns an array, with shape t.shape + u.shape + vshape, where vshape is the shape of values of the calling process p, containing the average across paths of exp(1j*u*p(t)).