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is it possible to integrate jump process? #13

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zeochoy opened this issue Oct 27, 2017 · 1 comment
Open

is it possible to integrate jump process? #13

zeochoy opened this issue Oct 27, 2017 · 1 comment

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@zeochoy
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zeochoy commented Oct 27, 2017

Hi, thanks for your really great library! it really saves my day.

I'm not expert in maths, but am currently interested in simulating sde include a poisson process. is it possible or would you incorporate a poisson process dNt into your library in the future? it could be great if you can suggest some ways to implement it. Thanks for your help in advance!

@mattja
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mattja commented Nov 2, 2017

I agree it would be useful to include support for jump processes.
Will consider how to implement this in future, and I'd welcome your suggestions on the interface.

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