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mschauer / Bridge.jl

A statistical toolbox for diffusion processes and stochastic differential equations. Named after the Brownian Bridge.
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SDE solver interface overhaul #9

Closed mschauer closed 6 years ago

mschauer commented 7 years ago

I plan to bring some oder into the zoo of integrators by introducing the following interface. Currently I am thinking of

For ODEs

solve!(method::ODESolver, X::SamplePath, x0, F::Function)
solve(method::ODESolver, x0, F::Function)

where for example method=BS3() and for SDEs

solve!(method, X::SamplePath, x0, W, P)
solve!(method, X::SamplePath, x0, W, b, σ)
solve(method, x0, W, P)
solve(method, x0, W, b, σ)
bridge!(method, X::SamplePath, W, P)
bridge(method, W, P)

where for example method=Euler() which should cover all cases needed in Bridge.

mschauer commented 7 years ago

This is mostly done! Some bridge proposal methods in guip.jl are still using old code.