Template Class SRI1Integrator

• Defined in File sri1.hpp

Inheritance Relationships

Base Type

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

Class Documentation

template<system_state StateType>
class SRI1Integrator : public diffeq::sde::AbstractSDEIntegrator<StateType>

Stochastic Runge-Kutta method (SRI1)

A second-order strong Taylor scheme for SDEs. More stable than Milstein for certain problems.

Strong order: 1.0 Weak order: 2.0

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 SRI1Integrator(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