Struct WienerProcess 

pub struct WienerProcess<R: Rng> { /* private fields */ }

Wiener process generator for SDE simulation.

Generates increments ΔW(t) ~ N(0, Δt) for standard Brownian motion.

Implementations

impl<R: Rng> WienerProcess<R>

pub fn new(rng: R, n_wiener: usize) -> Self

Create a new Wiener process with the given RNG.

pub fn increment<S: Scalar>(&mut self, dt: S) -> WienerIncrement<S>

Generate a single increment ΔW ~ N(0, dt).

pub fn path<S: Scalar>( &mut self, t0: S, tf: S, dt: S, ) -> Vec<WienerIncrement<S>>

Generate multiple increments for a path from t0 to tf with step dt.

pub fn correlated_increment<S: Scalar>( &mut self, dt: S, cholesky: &[S], ) -> WienerIncrement<S>

Generate correlated increments given a correlation matrix.

The correlation matrix L should be the Cholesky factor of the correlation matrix: Corr = L * L^T.

impl WienerProcess<StdRng>

pub fn with_seed(seed: u64, n_wiener: usize) -> Self

Create a Wiener process with a seed for reproducibility.

pub fn from_entropy(n_wiener: usize) -> Self

Create a Wiener process with random seed from system entropy.