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.

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

Inheritance diagram of probnum.randprocs.markov.continuous.SDE, probnum.randprocs.markov.continuous.LinearSDE, probnum.randprocs.markov.continuous.LTISDE, probnum.randprocs.markov.continuous.Diffusion, probnum.randprocs.markov.continuous.ConstantDiffusion, probnum.randprocs.markov.continuous.PiecewiseConstantDiffusion