probnum.randprocs.markov.continuous¶

Continous-time transitions and stochastic differential equations.

Functions¶

 matrix_fraction_decomposition(drift_matrix, ...) Matrix fraction decomposition (assuming no force).

Classes¶

 SDE(state_dimension, ...) Stochastic differential equation. LinearSDE(state_dimension, ...[, mde_atol, ...]) Linear stochastic differential equation (SDE), LTISDE(drift_matrix, force_vector, ...[, ...]) Linear time-invariant continuous Markov models of the form. Interface for diffusion models $$\sigma: \mathbb{R} \rightarrow \mathbb{R}^d$$ and their calibration. Constant diffusion and its calibration. Piecewise constant diffusion.