levy-process

A statistical toolbox for diffusion processes and stochastic differential equations. Named after the Brownian Bridge.

using the Inverse-Transform method to speed up options pricing simulations in R

A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.

Rigorous analysis of the Amundson sequence G(n) = n^(n+1)/(n+1)^n and the constant A_G: Hausdorff moment representation, compound-Poisson/Levy form, fibre lattices, and endpoint Christoffel asymptotics (Theorem C0).

Lean 4 formalization of Lévy processes on mathlib

Reproduction code for “Bayesian Non-Parametric Inference for Lévy Measures in State-Space Models”

Python framework modeling ontogenetic and evolutionary trajectories as a cross-sectional laser sweeping through developmental time — jump-diffusion, Ornstein-Uhlenbeck, and Levy process engines plus Bayesian analytics, 3D animation, and a CLI. 173 tests, 95%+ coverage, 13 example scripts.