Struct JumpDiffusionProblem 

pub struct JumpDiffusionProblem<Drift, Diffusion, JumpSampler>
where
    Drift: Fn(f64, f64) -> f64,
    Diffusion: Fn(f64, f64) -> f64,
    JumpSampler: Fn(&mut StdRng) -> f64,
{
    pub drift: Drift,
    pub diffusion: Diffusion,
    pub jump_intensity: f64,
    pub jump_sampler: JumpSampler,
    pub x0: f64,
    pub t_span: (f64, f64),
}

Generic jump-diffusion problem specification.

dX = f(X,t) dt + g(X,t) dW + dJ

where dJ is a compound Poisson process with intensity jump_intensity and jumps sampled from jump_sampler.

Fields

drift: Drift

Drift coefficient f(x, t)

diffusion: Diffusion

Diffusion coefficient g(x, t)

jump_intensity: f64

Poisson jump intensity (λ ≥ 0)

jump_sampler: JumpSampler

Callable returning a jump size: fn(&mut StdRng) -> f64

x0: f64

Initial value X(t0)

t_span: (f64, f64)

Time span (t0, t1)

Implementations

impl<Drift, Diffusion, JumpSampler> JumpDiffusionProblem<Drift, Diffusion, JumpSampler>

where Drift: Fn(f64, f64) -> f64, Diffusion: Fn(f64, f64) -> f64, JumpSampler: Fn(&mut StdRng) -> f64,

pub fn new( drift: Drift, diffusion: Diffusion, jump_intensity: f64, jump_sampler: JumpSampler, x0: f64, t_span: (f64, f64), ) -> IntegrateResult<Self>

Create a new jump-diffusion problem.

pub fn solve( &self, dt: f64, rng: &mut StdRng, ) -> IntegrateResult<Vec<(f64, f64)>>

Solve using Euler-Maruyama with exact Poisson jump timing.

Returns a vector of (t, X(t)) pairs.