diffeq::EulerMaruyamaIntegrator< StateType > Class Template Reference

Euler-Maruyama method for SDEs. More...

#include <euler_maruyama.hpp>

Inheritance diagram for diffeq::EulerMaruyamaIntegrator< StateType >:

Collaboration diagram for diffeq::EulerMaruyamaIntegrator< StateType >:

Public Types
using	base_type = sde::AbstractSDEIntegrator< StateType >
using	state_type = typename base_type::state_type
using	time_type = typename base_type::time_type
using	value_type = typename base_type::value_type
Public Types inherited from diffeq::sde::AbstractSDEIntegrator< StateType >
using	state_type = StateType
using	time_type = typename StateType::value_type
using	value_type = typename StateType::value_type
using	sde_problem_type = SDEProblem< StateType >
using	wiener_process_type = WienerProcess< StateType >

Public Member Functions
	EulerMaruyamaIntegrator (std::shared_ptr< typename base_type::sde_problem_type > problem, std::shared_ptr< typename base_type::wiener_process_type > wiener=nullptr)
void	step (state_type &state, time_type dt) override
std::string	name () const override
Public Member Functions inherited from diffeq::sde::AbstractSDEIntegrator< StateType >
	AbstractSDEIntegrator (std::shared_ptr< sde_problem_type > problem, std::shared_ptr< wiener_process_type > wiener=nullptr)
void	integrate (state_type &state, time_type dt, time_type end_time)
time_type	current_time () const
void	set_time (time_type t)
std::shared_ptr< sde_problem_type >	get_problem () const
std::shared_ptr< wiener_process_type >	get_wiener_process () const
void	set_wiener_process (std::shared_ptr< wiener_process_type > wiener)

Additional Inherited Members
Protected Member Functions inherited from diffeq::sde::AbstractSDEIntegrator< StateType >
void	advance_time (time_type dt)
virtual size_t	get_default_dimension ()
Protected Attributes inherited from diffeq::sde::AbstractSDEIntegrator< StateType >
std::shared_ptr< sde_problem_type >	problem_
std::shared_ptr< wiener_process_type >	wiener_
time_type	current_time_

Detailed Description

template<system_state StateType>
class diffeq::EulerMaruyamaIntegrator< StateType >

Euler-Maruyama method for SDEs.

The most basic SDE solver. Explicit scheme: X_{n+1} = X_n + f(t_n, X_n) * dt + g(t_n, X_n) * dW_n

Strong order: 0.5 Weak order: 1.0

Definition at line 19 of file euler_maruyama.hpp.

Member Typedef Documentation

base_type

template<system_state StateType>

using diffeq::EulerMaruyamaIntegrator< StateType >::base_type = sde::AbstractSDEIntegrator<StateType>

Definition at line 21 of file euler_maruyama.hpp.

state_type

template<system_state StateType>

using diffeq::EulerMaruyamaIntegrator< StateType >::state_type = typename base_type::state_type

Definition at line 22 of file euler_maruyama.hpp.

time_type

template<system_state StateType>

using diffeq::EulerMaruyamaIntegrator< StateType >::time_type = typename base_type::time_type

Definition at line 23 of file euler_maruyama.hpp.

value_type

template<system_state StateType>

using diffeq::EulerMaruyamaIntegrator< StateType >::value_type = typename base_type::value_type

Definition at line 24 of file euler_maruyama.hpp.

Constructor & Destructor Documentation

EulerMaruyamaIntegrator()

template<system_state StateType>

diffeq::EulerMaruyamaIntegrator< StateType >::EulerMaruyamaIntegrator ( std::shared_ptr< typename base_type::sde_problem_type >  problem, std::shared_ptr< typename base_type::wiener_process_type >  wiener = nullptr  )

inlineexplicit

Definition at line 26 of file euler_maruyama.hpp.

Member Function Documentation

name()

template<system_state StateType>

std::string diffeq::EulerMaruyamaIntegrator< StateType >::name ( ) const

inlineoverridevirtual

Implements diffeq::sde::AbstractSDEIntegrator< StateType >.

Definition at line 60 of file euler_maruyama.hpp.

step()

template<system_state StateType>

void diffeq::EulerMaruyamaIntegrator< StateType >::step ( state_type &  state, time_type  dt  )

inlineoverridevirtual

Implements diffeq::sde::AbstractSDEIntegrator< StateType >.

Definition at line 30 of file euler_maruyama.hpp.

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The documentation for this class was generated from the following file:

• include/integrators/sde/euler_maruyama.hpp