is it possible to integrate jump process?

mattja / sdeint

Numerical integration of Ito or Stratonovich SDEs

GNU General Public License v3.0

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is it possible to integrate jump process? #13

Open zeochoy opened 6 years ago

zeochoy commented 6 years ago

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 commented 6 years ago

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.