noise_processes.md

Classic Noise Processes

This section describes the available NoiseProcess types. Note that all keyword arguments are splatted into the NoiseProcess constructor, and thus options like reset are available on the pre-built processes.

WienerProcess
WienerProcess!
RealWienerProcess
RealWienerProcess!
OrnsteinUhlenbeckProcess
OrnsteinUhlenbeckProcess!
GeometricBrownianMotionProcess
GeometricBrownianMotionProcess!
CorrelatedWienerProcess
CorrelatedWienerProcess!
SimpleWienerProcess
SimpleWienerProcess!
CompoundPoissonProcess
CompoundPoissonProcess!

Bridges

BrownianBridge
BrownianBridge!
DiffEqNoiseProcess.GeometricBrownianBridge
DiffEqNoiseProcess.GeometricBrownianBridge!
DiffEqNoiseProcess.CompoundPoissonBridge
DiffEqNoiseProcess.CompoundPoissonBridge!