A component of the DiffEq ecosystem for enabling sensitivity analysis for scientific machine learning (SciML). Optimize-then-discretize, discretize-then-optimize, adjoint methods, and more for ODEs, SDEs, DDEs, DAEs, etc.
2 times the standard correction term from Stratonovich to Ito must be added to the drift function to ensure that we get the proper backwards evolution in the Ito sense.
2 times the standard correction term from Stratonovich to Ito must be added to the drift function to ensure that we get the proper backwards evolution in the Ito sense.