The start of the README should probably be changed to read
Standalone JAX-accelerated package to simulate Ornstein-Uhlenbeck processes
This package provides a very simple interface to simulate OU processes of the form
$$ dx = - A(x - b) dt + \mathcal{N}(0, D dt) $$
To collect samples from this process, define $A, b, D$ a JAX random key as well as start position $x_0$ and sampling times $ts$. Then run the collect_samples function:
collect_samples(key, ts, x0, A, b, D=D)
Samples are then collected by exact diagonalization (therefore there is no discretization error) and JAX scans.
The start of the README should probably be changed to read
Standalone JAX-accelerated package to simulate Ornstein-Uhlenbeck processes
This package provides a very simple interface to simulate OU processes of the form $$ dx = - A(x - b) dt + \mathcal{N}(0, D dt) $$ To collect samples from this process, define $A, b, D$ a JAX random key as well as start position $x_0$ and sampling times $ts$. Then run the
collect_samples
function:Samples are then collected by exact diagonalization (therefore there is no discretization error) and JAX scans.