sdepy.true_wiener_source.new_inside

true_wiener_source.new_inside(w1, w2, t1, t2, s)

Generate a new process increment, at a time s between those of formerly realized values.

Parameters:

z1, z2 : array

Formerly realized values of the source at times t1, t2 respectively.

t1, t2 : float

t1, t2 are the times of former realizations closest to s, with t1 < s < t2.

Returns:

array

Value of the source at s, conditional on formerly realized value z1 at t1 and z2 at t2. Should be defined by subclasses. Defaults to an array of numpy.nan.