3.3.11. sdepy.true_cpoisson_source

class sdepy.true_cpoisson_source(*, paths=1, vshape=(), dtype=None, rng=None, rtol='max', t0=0.0, z0=0.0, dn=None, ptype=<class 'int'>, lam=1.0, y=None)[source]

dj, a source of compound Poisson process increments (jumps) with memory.

Parameters:
paths, vshape, dtype, dn, ptype, lam, y

See cpoisson_source class documentation.

rtol, t0, z0

See true_source class documentation.

dn : true_poission_source, or None

If provided, it is used as the underlying source of Poisson process increments with memory, overriding the given ptype and lam. If None (default), it is instantiated as a sdepy.true_poission_source.
Returns:
array

Once instantiated as dj, dj(t) returns z0 plus a realization of compound Poisson process increments from time t0 to t, and dj(t, dt) returns dj(t + dt) - dj(t). The returned values follow a probability distribution conditional on the realized values in previous calls.

See also

source
cpoisson_source
true_source

Notes

For time-dependent intensity lam(t) and compounding random variable y(t) the result is approximate, mind running a first evaluation on a sequence of consecutive closely spaced time points in the region of interest.

Attributes:
rng

Read-only access to the random number generator used by the stochasticity source.

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

See ``source`` and ``true_source`` methods.