svStochasticIntegratorRDI1WM
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class svStochasticIntegratorRDI1WM : public StochasticRKIntegratorBase
- #include <svStochasticIntegratorRDI1WM.h>
The RDI1WM stochastic integrator: weak order 1 (deterministic order 2) for Ito SDEs with diagonal or scalar noise.
Implementation of the
RDI1WMmethod (Roessler). It is the simplest of the weak Roessler methods: two drift stages and one diffusion evaluation, driven by a three-point distributed increment.With three-point increment \(\hat{I} \in \{-\sqrt{3h},0,+\sqrt{3h}\}\) (built from the Gaussian \(\Delta W\) via
stochasticWeakRV::threePoint):\[ H_2^{(0)} = x_n + a_{021} f(t_n,x_n) h + b_{021} g(t_n,x_n)\,\hat{I} \]\[ x_{n+1} = x_n + \big(\alpha_1 f(t_n,x_n) + \alpha_2 f(t_n + c_{02}h, H_2^{(0)})\big) h + \beta_{11} g(t_n,x_n)\,\hat{I} \]Warning
Stochastic integration is in beta.
Public Functions
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virtual void integrate(double currentTime, double timeStep) override
Performs the integration of the associated dynamic objects up to time currentTime+timeStep
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virtual void integrate(double currentTime, double timeStep) override