StochasticProcesses

A lightweight, efficient package for simulating stochastic processes on various domains.

Installation

Installation is straightforward: enter Pkg mode by hitting ], and then run

(v1.5) pkg> add StochasticProcesses

Basic Examples

Bring StochasticProcesses's exported items into the namespace by running

using StochasticProcesses

Random Walk

Instantiate a one-dimensional random walk:

rw = RandomWalk(1)

Simulate 20 realizations of the random walk rw and plot the results:

plot(rw)

A pop-up window should render something like the following:

Poisson Process

Instantiate a homogeneous Poisson process with arrival rate 1.0:

pp = PoissonProcess(1.0)

Simulate 10 realizations of the Poisson process pp over the time interval [0, 30], and plot the results:

plot(pp)

A pop-up window should render something like the following: