SDE reversal for scalar noise processes

SciML / StochasticDiffEq.jl

Solvers for stochastic differential equations which connect with the scientific machine learning (SciML) ecosystem

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SDE reversal for scalar noise processes #489

Closed frankschae closed 2 years ago

frankschae commented 2 years ago

Tackle open issues regarding time reversion of Ito SDEs from:

https://github.com/SciML/SciMLSensitivity.jl/issues/279 https://github.com/SciML/DiffEqNoiseProcess.jl/pull/62

@ChrisRackauckas maybe we should move the tests from DiffEqNoiseProcess.jl here? (It seems that it is worth to test several algorithms and not only if NoiseGrid, NoiseWrapper etc. work).

ChrisRackauckas commented 2 years ago

Possibly?