Template Class SRIIntegrator

• Defined in File sri.hpp

Inheritance Relationships

Base Type

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

Derived Type

• public diffeq::SOSRIIntegrator< StateType > (Template Class SOSRIIntegrator)

Class Documentation

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

SRI (Stochastic Runge-Kutta for general Itô SDEs) integrator.

Implements the SRI family of methods for general Itô SDEs: dX = f(t, X) dt + g(t, X) dW

Strong order: 1.5 Weak order: 2.0

Reference: Rößler A., Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations, SIAM J. Numer. Anal., 48 (3), pp. 922–952. DOI:10.1137/09076636X

Subclassed by diffeq::SOSRIIntegrator< 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

using tableau_type = SRITableau<value_type>

Public Functions

inline explicit SRIIntegrator(std::shared_ptr<typename base_type::sde_problem_type> problem, std::shared_ptr<typename base_type::wiener_process_type> wiener = nullptr, tableau_type tableau = SRIIntegrator::create_sriw1_tableau())

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

inline virtual std::string name() const override

inline void set_tableau(const tableau_type &tableau)