A library of noise processes for stochastic systems like stochastic differential equations (SDEs) and other systems that are present in scientific machine learning (SciML)
The example code "Direct Simulation of the Noise Process" is broken. In Particular, the type MonteCarloProblem is not defined and I was not able to find a non-deprecated definition of MonteCarloProblem in the SciML ecosystem. Should this be changed to
using DifferentialEquations
using DiffEqNoiseProcess
W = GeometricBrownianMotionProcess(μ, σ, 0.0, S0)
prob = NoiseProblem(W, (0, T))
monte_prob = EnsembleProblem(prob)
sol = solve(monte_prob; dt=0.1, trajectories=100)
The example code "Direct Simulation of the Noise Process" is broken. In Particular, the type
MonteCarloProblem
is not defined and I was not able to find a non-deprecated definition ofMonteCarloProblem
in the SciML ecosystem. Should this be changed to?