New solvers - Githubissues

google-research / torchsde

Differentiable SDE solvers with GPU support and efficient sensitivity analysis.

Apache License 2.0

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Open patrick-kidger opened 4 years ago

patrick-kidger commented 4 years ago

Creating an issue to keep track of the various solvers that would be nice to add (eventually): Ito

Stratonovich

lxuechen commented 4 years ago

Adding to this thread I would also advocate for including more high weak order schemes and implicit schemes.

patrick-kidger commented 4 years ago

I agree. IIRC both of the SRKs, and NV, are high weak order schemes.