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IPython Interactive Computing and Visualization Cookbook

IPython Interactive Computing and Visualization Cookbook

By : Cyrille Rossant
4.5 (13)
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IPython Interactive Computing and Visualization Cookbook

IPython Interactive Computing and Visualization Cookbook

4.5 (13)
By: Cyrille Rossant

Overview of this book

Intended to anyone interested in numerical computing and data science: students, researchers, teachers, engineers, analysts, hobbyists... Basic knowledge of Python/NumPy is recommended. Some skills in mathematics will help you understand the theory behind the computational methods.
Table of Contents (22 chapters)
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IPython Interactive Computing and Visualization Cookbook
Credits
About the Author
About the Reviewers
www.PacktPub.com
Preface
Index

Simulating a stochastic differential equation


Stochastic differential equations (SDEs) model dynamical systems that are subject to noise. They are widely used in physics, biology, finance, and other disciplines.

In this recipe, we simulate an Ornstein-Uhlenbeck process, which is a solution of the Langevin equation. This model describes the stochastic evolution of a particle in a fluid under the influence of friction. The particle's movement is due to collisions with the molecules of the fluid (diffusion). The difference with the Brownian motion is the presence of friction.

The Ornstein-Uhlenbeck process is stationary, Gaussian, and Markov, which makes it a good candidate to represent stationary random noise.

We will simulate this process with a numerical method called the Euler-Maruyama method. It is a simple generalization to SDEs of the Euler method for ODEs.

How to do it...

  1. Let's import NumPy and matplotlib:

    In [1]: import numpy as np
            import matplotlib.pyplot as plt
            %matplotlib...

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