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SciML / DelayDiffEq.jl

Delay differential equation (DDE) solvers in Julia for the SciML scientific machine learning ecosystem. Covers neutral and retarded delay differential equations, and differential-algebraic equations.
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Stochastic Delay Differential Equations #29

Open ChrisRackauckas opened 6 years ago

ChrisRackauckas commented 6 years ago

StochasticDiffEq.jl has a very similar structure to OrdinaryDiffEq.jl. With some tweaks it should be possible to make DelayDiffEq.jl handle both of them, in which case we'll have the first stochastic delay differential equation setup which will be really really cool!

ChrisRackauckas commented 5 years ago

Here is an SDDE method which just came out. https://www.sciencedirect.com/science/article/pii/S0377042718307738 I think it could be implemented in this nested form?

HTSykora commented 4 years ago

I think I'll try to create a StochasticDelayDiffEq.jl based on this package. It would allow to experiment with the method of steps with already exisiting algorithms for SDE-s and later the SDDE-specific algorithms could be added.

ChrisRackauckas commented 4 years ago

Cool! Let us know if you need any help. StochasticDiffEq.jl has slightly different stepping behavior due to how adaptivity in SDEs works, but it should be doable in about the same manner.