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jacobnzw / SSMToybox

Nonlinear Sigma-Point Kalman Filters based on Bayesian Quadrature
MIT License
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Simulation of SDE #9

Closed jacobnzw closed 5 years ago

jacobnzw commented 5 years ago

Currently I'm simulating an SDE using an ODE integration method, which isn't correct.

The simplest simulation method is the Euler-Maruyama (others can be found in literature).