probnum.randprocs.markov.continuous

Continous-time transitions and stochastic differential equations.

Functions

matrix_fraction_decomposition(driftmat, …)

Matrix fraction decomposition (assuming no force).

Classes

SDE(dimension, driftfun, dispmatfun, jacobfun)	Stochastic differential equation.
LinearSDE(dimension, driftmatfun, …[, …])	Linear stochastic differential equation (SDE),
LTISDE(driftmat, forcevec, dispmat[, …])	Linear time-invariant continuous Markov models of the form.
Diffusion()	Interface for diffusion models \(\sigma: \mathbb{R} \rightarrow \mathbb{R}^d\) and their calibration.
ConstantDiffusion()	Constant diffusion and its calibration.
PiecewiseConstantDiffusion(t0)	Piecewise constant diffusion.

Class Inheritance Diagram