src/DiffEq/Gamma/Gamma.hpp file

System of gamma SDEs.

This file implements the time integration of a system of stochastic differential equations (SDEs), with linear drift and linear diagonal diffusion, whose invariant is the joint gamma distribution.

In a nutshell, the equation integrated governs a set of scalars, , , as

with parameter vectors , , and . Here is an isotropic vector-valued Wiener process with independent increments. The invariant distribution is the joint gamma distribution. This system of SDEs consists of N independent equations.

Namespaces

namespace walker

Walker declarations and definitions.

Classes

template<class Init, class Coefficients>

class walker::Gamma

Gamma SDE used polymorphically with DiffEq.