PiecewiseDeterministicMarkovProcesses.jl

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PiecewiseDeterministicMarkovProcesses.jl is a Julia package that allows simulation of Piecewise Deterministic Markov Processes (PDMP); these encompass hybrid systems and jump processes, comprised of continuous and discrete components, as well as processes with time-varying rates. The aim of the package is to provide methods for the simulation of these processes that are "exact" up to the ODE integrator. A lot of care has been devoted to reduce allocations as much as possible.

To install this package, run the command

] add PiecewiseDeterministicMarkovProcesses

Please, have a look at the documention.

Authors

This is a joint work of Romain Veltz (@rveltz) and Simon Frost (@sdwfrost).