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SciML / StochasticDiffEq.jl

Solvers for stochastic differential equations which connect with the scientific machine learning (SciML) ecosystem
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New iterated integral approximation method #405

Closed ChrisRackauckas closed 2 years ago

ChrisRackauckas commented 3 years ago

https://arxiv.org/pdf/2101.09542.pdf

frankschae commented 2 years ago

Implemented in LevyArea.jl (MronRoe) https://stochastics-uni-luebeck.github.io/LevyArea.jl/stable/references/