Stochastic-rs

A Rust library for stochastic processes

Features - [x] Gaussian noise - [x] Fractional Gaussian noise - [x] Brownian motion - [x] Fractional Brownian motion - [ ] Geometric Brownian motion - [ ] Ornstein-Uhlenbeck process - [ ] Fractional Ornstein-Uhlenbeck process - [ ] Cox-Ingersoll-Ross process - [ ] Vasicek model - [ ] CIR model - [ ] Heston model - [ ] Merton model - [ ] Jump-diffusion model - [ ] Variance Gamma model - [ ] Normal Inverse Gaussian model

Usage

Gaussian noise

```rust use stochastic_rs::noises::gn;

let n = 1000; let noise = gaussian(n); println!("{:?}", noise); ```

Fractional Gaussian noise ```rust use stochastic_rs::noises::fgn;

let n = 1000; let hurst = 0.7; let noise = fgn(n, hurst); println!("{:?}", noise); ```

Brownian motion ```rust use stochastic_rs::processes::bm;

let n = 1000; let t = 1; let bm = bm(n, t); println!("{:?}", bm); ```

Fractional Brownian motion ```rust // using cholesky decomposition use stochasticrs::processes::fbmcholesky;

let n = 1000; let hurst = 0.7; let t = 1; let fbm = fbm_cholesky(n, hurst, t); println!("{:?}", fbm); ```