Closed tlienart closed 7 years ago
Working on this with the global BPS. The test should be that with the samplepath
function and sufficiently many sampling points, the quadrature and the MC estimator should be approximately equal.
this is now done in e3f3727 and tested in https://github.com/alan-turing-institute/PDMP.jl/blob/master/test/path_test.jl#L17_L27
It follows the trivial extension of formula below to any polynomial
[migrated from private repo]
Note that this is all well and easy for reduced dimensionality, as usual.