library.md

Library

Important concepts

ContinuousTimeProcess{T}
SamplePath{T}
Bridge.GSamplePath
valtype
Bridge.outertype

Ordinary differential equations and quadrature

Bridge.ODESolver
solve!
Bridge.solvebackward!
Bridge.R3
Bridge.BS3
LeftRule
Bridge.fundamental_matrix

Brownian motion

Modules = [Bridge]
Pages = ["/wiener.jl"]

Stochastic differential equations

Bridge.a
sample
sample!
quvar
bracket
ito
girsanov
lp
llikelihood
solve
EulerMaruyama
Euler
StochasticRungeKutta
StochasticHeun
Bridge.NoDrift

In place solvers

Bridge.R3!
Bridge.σ!
Bridge.b!
Bridge.kernelr3!

Levy processes

GammaProcess
GammaBridge
Bridge.ExpCounting
Bridge.CompoundPoisson
Bridge.nu
Bridge.uniform_thinning!

Poisson processes

ThinningAlg
InhomogPoisson

Bessel processes

Bridge.Bessel{N}
Bridge.Bessel3Bridge
Bridge.BesselProp

Miscellaneous

Bridge.endpoint!
Bridge.inner
Bridge.cumsum0
Bridge.mat
Bridge.outer
CSpline
Bridge.integrate
Bridge.logpdfnormal
Bridge.runmean
Bridge.PSD
Bridge.Gaussian
Bridge.refine
Bridge.quaternion
Bridge._viridis
Bridge.supnorm
Bridge.posterior

Online statistics

Online updating of the tuple state = (m, m2, n) where

m - mean(x[1:n])

m2 - sum of squares of differences from the current mean, \textstyle\sum_{i=1}^n (x_i - \bar x_n)^2

n - number of iterations

mcstart
mcnext
mcband
mcbandmean
Bridge.mcstats
Bridge.mcmarginalstats
Bridge.OnlineStat

Linear Processes

LinPro
Bridge.Ptilde
Bridge.LinearNoiseAppr
Bridge.LinearAppr
Bridge.LinProBridge

Bridges

GuidedProp
Bridge.GuidedBridge
Bridge.PartialBridge
Bridge.PartialBridgeνH
BridgeProp
Bridge.Mdb
Bridge.Vs
Bridge.gpV!
Bridge.r
Bridge.gpHinv!
Bridge.gpupdate

Unsorted

LocalGammaProcess
Bridge.compensator0
Bridge.compensator
Bridge.θ
Bridge.soft
Bridge.tofs
Bridge.dotVs
Bridge.SDESolver
Bridge.Increments
Bridge.sizedtype
Bridge.piecewise
Bridge.aeuler
Bridge.MeanCov
Bridge.upsample
Bridge.viridis
Bridge.rescale