SDEs

Systems / SDEs

Systems driven by noise. Provide drift and diffusion; TSDynamics integrates with Euler–Maruyama or Milstein and returns ensembles, moments, and the deterministic skeleton.

\[ dx = f(x)\,dt + g(x)\,dW \]

3 systems · 1 subcategories

Define one

import tsdynamics as ts

# A stochastic system integrates with a seeded noise realisation:
sys = ts.systems.OrnsteinUhlenbeck()
traj = sys.integrate(final_time=100.0, dt=0.01, seed=0)

Subcategories

Subcategory	Systems	Dim	Examples
Noise-driven systems	3	1	DoubleWell, GeometricBrownianMotion, OrnsteinUhlenbeck