Implement higher order stochastic integrators

ocramz / sde

Numerical experiments with stochastic differential equations

BSD 3-Clause "New" or "Revised" License

19 stars 4 forks source link

Implement higher order stochastic integrators #2

Open ocramz opened 7 years ago

ocramz commented 7 years ago

See Wilkie, Numerical Methods for Stochastic Differential Equations ( https://arxiv.org/pdf/quant-ph/0407039.pdf ) and Kloeden, Platen, Numerical solution of SPDEs

ChrisRackauckas commented 7 years ago

Note that Wilkie's paper is well-known as being incorrect. You should avoid that method.

https://pdfs.semanticscholar.org/51c4/0901872243a366d410b05209424abee81bf2.pdf

ocramz commented 7 years ago

@ChrisRackauckas thank you so much for this unexpected feedback and for the reference; this method sounded too good to be true but I have not verified its claims in practice. I haven't been studying this field for a few months and missed this very informative rebuttal.