SciML / StochasticDiffEq.jl

Solvers for stochastic differential equations which connect with the scientific machine learning (SciML) ecosystem
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W2Ito1 scheme #571

Open frankschae opened 3 months ago

frankschae commented 3 months ago

This PR implements the W2Ito1 scheme from Tang, X., & Xiao, A. (2017). Efficient weak second-order stochastic Runge–Kutta methods for Itô stochastic differential equations. BIT Numerical Mathematics, 57, 241-260.

https://link.springer.com/article/10.1007/s10543-016-0618-9

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