Original Question: I want to generate a Poisson process. If the number of arrivals by time t is N(t) and I have a Poisson distribution with parameter lambda how do I generate N(t)? How would I do this in C++? Clarification: I originally wanted to generate the process using a Poisson distribution. But, I was confused about what paramet...
Hello, I am looking for a python library that would allow me to compute stochastic calculus stuff, like the (conditional) expectation of a random process I would define the diffusion. I had a look a at simpy (simpy.sourceforge.net), but it does not seem to cover my needs. This is for quick prototyping and experimentation. In java, I u...
Is there a sane way to unit test a stochastic process? For example say that you have coded a simulator for a specific system model. The simulator works randomly based on the seeds of the rngs so the state of the system cannot be predicted and if it can be every test should bring the system to a specific state before it attempts to test a...
A cow is standing in front of an infinite fence . On the other side is grass. The cow wants to get to this grass. Somewhere along this fence is a hole through which the cow can get to the other side. The distance d from the cow to the hole has a probability distribution f(d) associated with it i.e. the probability that the hole is k step...