BrownianMotion sample_at losing the drift and scale

crflynn / stochastic

Generate realizations of stochastic processes in python.

http://stochastic.readthedocs.io/en/stable/

MIT License

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BrownianMotion sample_at losing the drift and scale #15

Closed bozothegrey closed 4 years ago

bozothegrey commented 5 years ago

Hello, I believe that _sample_brownian_motion_at is wrong as it calls it calls _sample_gaussian_noise_at and doesn't adjust for drift and scale. As a consequence, sample_at samples a Guassian Process. Please let me know if you would like me to work on it.

crflynn commented 5 years ago

Hi @bozothegrey. Thanks for pointing this out, you're right. If you're interested in fixing it go ahead. Otherwise I'll get to it when I can.

MichaelHogervorst commented 4 years ago

I've submitted a pull request to fix this issue.

crflynn commented 4 years ago

Closed by #23