SciML / SciML/DiffEqNoiseProcess.jl
Implement correlated Wiener bridge
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- Dominant language
- Julia
- Stars
- 62
- Forks
- 32
- Avg merge
- 8h 38m
- Merged PRs (30d)
- 16
Description
One can use t ↦ B(t) = (T-t)/(T-S)⋅a + σ⋅(W(t-S)) + t/(T-S)⋅(b-σ⋅W(T-S)) for a bridge from a at time S to b at time T, as in the uncorrelated case where σ = I.
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start by locating the existing uncorrelated Wiener bridge implementation and its tests, then compare their entry points with the correlated bridge formula in this issue. Done means the correlated bridge is implemented for the stated endpoints and its behavior is covered by tests consistent with the existing bridge.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- julia
- Domain
- backend
- Issue type
- Feature
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 35/100