CamDavidsonPilon/PyProcess

PyProcess 0.2

PyProcess is a Python class library used to exactly simulate stochastic processes, and their properties.

Using this library, you can simulate the following random processes:

Continuous Diffusions

• Brownian Motion
• Geometric Brownian Motion
• CEV
• CIR
• Square Bessel Process
• Ornstein Uhlenbeck process
• Time-integrated Ornstein Uhlenbeck process
• Levy Processes
• Bessel Process (coming soon)
• Fractional Brownian Motion (coming soon)

Jump Diffusions

• Gamma process
• Variance-gamma process
• Geometric Gamma process
• Inverse Gaussian process NEW
• Normal Inverse Gaussian process NEW

Step Processes

• Renewal process
• Poisson process
• Compound poisson process
• marked-poisson process
• Fractional poisson process (coming soon)

See fun examples of the processes you can simulate [here] (http://pyprocess.70percentfatfree.com)

Simulation Algorithms + PyProcess 0.2

See the report for PyProcess 0.2's background.

Lastly

Visit me at camdp.com or at @cmrn_dp