svStochasticIntegratorMayurama

class svStochasticIntegratorMayurama : public StochasticRKIntegratorBase

#include <svStochasticIntegratorMayurama.h>

The 1-weak 1-strong order Euler-Mayurama stochastic integrator.

For an SDE of the form:

\[ dx = f(t,x)\,dt + \sum_i g_i(t,x)\,dW_i \]

The integrator, with timestep h, computes:

\[ x_{n+1} = x_n + f(t,x)\,h + \sum_i g_i(t,x)\,\Delta W_i \]

where the Wiener increments \(\Delta W_i \sim N(0,h)\) are supplied by the shared pluggable noise generator (see StochasticRKIntegratorBase). Euler-Mayurama requests only the Wiener increment dW.

Warning

Stochastic integration is in beta.

Protected Functions

void integrateImpl(double currentTime, double timeStep) override

Performs one flat Euler-Maruyama integration step.