Program Listing for File euler_maruyama.hpp

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#pragma once

#include <sde/sde_base.hpp>
#include <core/state_creator.hpp>
#include <cmath>

namespace diffeq {

template<system_state StateType>
class EulerMaruyamaIntegrator : public sde::AbstractSDEIntegrator<StateType> {
public:
    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;

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

    void step(state_type& state, time_type dt) override {
        // Create temporary states
        state_type drift_term = StateCreator<state_type>::create(state);
        state_type diffusion_term = StateCreator<state_type>::create(state);
        state_type dW = StateCreator<state_type>::create(state);

        // Generate Wiener increments
        this->wiener_->generate_increment(dW, dt);

        // Compute drift: f(t, X)
        this->problem_->drift(this->current_time_, state, drift_term);

        // Compute diffusion: g(t, X)
        this->problem_->diffusion(this->current_time_, state, diffusion_term);

        // Apply noise to diffusion term
        this->problem_->apply_noise(this->current_time_, state, diffusion_term, dW);

        // Update state: X_{n+1} = X_n + f*dt + g*dW
        for (size_t i = 0; i < state.size(); ++i) {
            auto state_it = state.begin();
            auto drift_it = drift_term.begin();
            auto diffusion_it = diffusion_term.begin();

            state_it[i] += drift_it[i] * dt + diffusion_it[i];
        }

        this->advance_time(dt);
    }

    std::string name() const override {
        return "Euler-Maruyama";
    }
};

} // namespace diffeq