Closed rmsrosa closed 1 year ago
This implements the RODE equivalent of the "Tamed Euler" SDE solver proposed in Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients by Martin Hutzenthaler, Arnulf Jentzen, Peter E. Kloeden.
This scheme, for a RODE $dX_t/dt = f(t, X_t, Y_t)$, with noise $Yt$, is an explicit scheme consisting of the time steps $$X{t{j+1}}^n = X{t_j}^n + \frac{\Delta t f(tj, X{tj}, Y{t_j})}{1 + \Delta t ||f(tj, X{tj}, Y{t_j})||}$$
This implements the RODE equivalent of the "Tamed Euler" SDE solver proposed in Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients by Martin Hutzenthaler, Arnulf Jentzen, Peter E. Kloeden.
This scheme, for a RODE $dX_t/dt = f(t, X_t, Y_t)$, with noise $Yt$, is an explicit scheme consisting of the time steps $$X{t{j+1}}^n = X{t_j}^n + \frac{\Delta t f(tj, X{tj}, Y{t_j})}{1 + \Delta t ||f(tj, X{tj}, Y{t_j})||}$$