Crate diffusionx

DiffusionX is a multi-threaded high-performance Rust library for random number/stochastic process simulation.

Usage

use diffusionx::simulation::{Bm, Simulation, Functional};
// Brownian motion simulation
let bm = Bm::new(0.0, 1.0, 1.0)?;  // Create Brownian motion object: initial position 0, diffusion coefficient 1, duration 1
let time_step = 0.01;  // Time step
let (times, positions) = bm.simulate(time_step)?;  // Simulate Brownian motion trajectory
// Monte Carlo simulation of Brownian motion statistics
let mean = bm.mean(time_step, 1000)?;  // Mean  bm.raw_moment(time_step, 1, 1000)?;
let msd = bm.msd(time_step, 1000)?;  // Mean square displacement  bm.central_moment(time_step, 2, 1000)?;
// First passage time of Brownian motion
let max_duration = 1000; // if over this duration, the simulation will be terminated and return None
let fpt = bm.fpt(time_step, (-1.0, 1.0), max_duration)?;

Progress

Random Number Generation

• Normal distribution
• Uniform distribution
• Exponential distribution
• Poisson distribution
• Alpha-stable distribution

Stochastic Processes

• Brownian motion
• Alpha-stable Lévy process
• Subordinator
• Inverse Subordinator
• Fractional Brownian motion
• Poisson process
• Compound Poisson process
• Langevin equation
• Generalized Langevin equation
• Subordinated Langevin equation

Functional

• First passage time
• Occupation time

License

This project is dual-licensed under:

• MIT License
• Apache License Version 2.0

You can choose to use either license.

Modules

random

Random number generation

simulation

Simulation module Now implemented:

utils

Utils

Enums

SimulationError

Error for simulating the process

StableError

Error for sampling from the stable distribution

XError

Error type for the crate

Type Aliases

XResult

Result type for the crate