Template Class EulerMaruyamaIntegrator

• Defined in File euler_maruyama.hpp

Inheritance Relationships

Base Type

• public diffeq::sde::AbstractSDEIntegrator< StateType > (Template Class AbstractSDEIntegrator)

Class Documentation

template<system_state StateType>
class EulerMaruyamaIntegrator : public diffeq::sde::AbstractSDEIntegrator<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

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 Functions

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

inline virtual void step(state_type &state, time_type dt) override

inline virtual std::string name() const override