Closed acubed3 closed 11 months ago
from diffeqpy import de
D = 1.0
W = de.WienerProcess(0.0,2*D)
def f(u,p,t):
return 1.01*u
def g(u,p,t):
return 0.87*u
u0 = 0.5
tspan = (0.0,1.0)
prob = de.SDEProblem(f,g,u0,tspan, noise=W)
sol = de.solve(prob)
works fine on the v2.0 version.
@ChrisRackauckas , thanks so much. After one year, I will happy to see this
I would like to solve a system of coupled non-linear SDEs, which looks like
where
W
is the Wiener process with zero mean and volatilitysigma=2*D
.As I understand,
diffeqpy
uses the Wiener process with zero mean and unit volatility as default. To obtain the desired Wiener process, I write the following line:Next, I try to test my guess by runing the minimal working example from documentation with minor change:
This code snippet raises
RuntimeError
:In addition, I provide the text-file with stacktrace.