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 uses only the Wiener increment dW; the second increment dZ drawn for the higher-order methods is ignored.

Warning

Stochastic integration is in beta.

Public Functions

virtual void integrate(double currentTime, double timeStep) override

Performs the integration of the associated dynamic objects up to time currentTime+timeStep