Function wiener_process

pub fn wiener_process<F, const D: usize>(
    rng: &mut ChaCha8Rng,
    dt: F,
) -> Result<Matrix<F, Const<D>, Const<1>, ArrayStorage<F, D, 1>>, RngError>
where
    F: DivAssign + Scalar + Float,
    StandardNormal: Distribution<F>,

Available on crate feature elli only.

Generate a vector corresponding to a wiener process.

This function calculates a statically sized random vector with dimension D. It uses a rand_distr::StandardNormal distribution and divides the result by dt such that the correct incremental wiener process is obtained.