In order to not lose our Slack conversation @mschauer:
34 restructures the SDE kernel.
Instead of AffineMap, we could define and overload TAffineMap
with TAffineMap(t, x, p) and B, β, σ̃ = linearparams(f, g, t) such that the tilde kernel can be defined as
fmeulen
commented
3 years ago
In order to not lose our Slack conversation @mschauer:
34 restructures the SDE kernel.
Instead of
AffineMap, we could define and overloadTAffineMapwithTAffineMap(t, x, p)andB, β, σ̃ = linearparams(f, g, t)such that the tilde kernel can be defined askernel = SDEKernel(TAffineMap, ConstantMap, trange, (B, β, σ̃))to support time-dependence.