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  • License MIT

Package Exports

  • stochastic-js
  • stochastic-js/index.ts

This package does not declare an exports field, so the exports above have been automatically detected and optimized by JSPM instead. If any package subpath is missing, it is recommended to post an issue to the original package (stochastic-js) to support the "exports" field. If that is not possible, create a JSPM override to customize the exports field for this package.

Readme

Stochastic.js

This package is created to bring closer the stochastic calculus in Typescript.

Installation

yarn add stochastic-js
npm i stochastic-js

Maintenance

This is a totally new project. The modules will be come in the future as I have time for it or if there is any request.

Available modules

  • normal distribution based on Box-Müller transformation
  • ordinary Wiener process
  • geometric brownian motion

Future plans

  • Add multiple normal distribution generator
  • Add different stochastic process, SDEs
  • Add fractional process support