Statistics and stochastic calculus for Markov processes in continuous time, include univariate and multivariate stochastic processes such as stochastic differential equations or diffusions (SDE's) or Levy processes.

Features

  • Define and simulate diffusion processes in one or more dimension
  • Continuous and discrete likelihood using Girsanovs theorem and transition densities
  • Monte Carlo sample diffusion bridges, diffusion processes conditioned to hit a point v at a prescribed time T
  • Brownian motion in one and more dimensions
  • Ornstein-Uhlenbeck processes and Ornstein-Uhlenbeck bridges
  • Bessel processes

Project Samples

Bridge.jl Screenshot 1

Project Activity

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Categories

Data Visualization, Mathematics

License

MIT License

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Additional Project Details

Programming Language

Julia

Related Categories

Julia Data Visualization Software, Julia Mathematics Software

Registered

2023-12-05
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