Metadata-Version: 2.1
Name: ito-diffusions
Version: 1.1.2
Summary: Library for stochastic process simulation
Home-page: https://github.com/sauxpa/ito_diffusions
Author: Patrick Saux
Author-email: patrick.jr.saux@gmail.com
License: UNKNOWN
Platform: UNKNOWN
Requires-Python: >=3.6
Description-Content-Type: text/markdown
Requires-Dist: numpy
Requires-Dist: scipy
Requires-Dist: pandas
Requires-Dist: mpmath
Requires-Dist: tqdm

### ito_diffusions
Libraries for stochastic processes simulation and visualization including:
* Ito diffusion : Brownian motion, Geometric Brownian motion, Vasicek, CIR...
* Jump processes : Ito diffusion driven by a Levy process i.e with a jump component with a given intensity and jump size distribution
* Multidimensional processes, stochastic volatility diffusions (SABR...)
* Fractional Brownian motion, Karhunen-Loeve expansion, fractional diffusions
* Self-Avoiding Walks (SAW), Schramm-Loewner Evolution (SLE)

**To install** : pip install ito-diffusions
https://pypi.org/project/ito-diffusions/

For numerous examples : https://github.com/sauxpa/stochastic

<img src="./brownian_sheaf.png"
     style="float: left; margin-right: 10px;" />


<img src="./saw_square.png"
     style="float: left; margin-right: 10px;" />

<img src="./sle_peaks.png"
     style="float: left; margin-right: 10px;" />


