svStochasticIntegratorSOSRA

class svStochasticIntegratorSOSRA : public svIntegratorStrongStochasticRungeKuttaSRA<3>

#include <svStochasticIntegratorSOSRA.h>

Stability-optimized strong-order 1.5 stochastic integrator for additive-noise SDEs.

This is the SOSRA method (stability-optimized Roessler SRA family), a good general-purpose method for additive-noise SDEs. Coefficients follow the SOSRA tableau.

Roessler A., "Runge-Kutta Methods for the Strong Approximation of Solutions of
Stochastic Differential Equations", SIAM J. Numer. Anal., 48 (3), pp. 922-952.
https://doi.org/10.1137/09076636X

Warning

Stochastic integration is in beta.

Public Functions

svStochasticIntegratorSOSRA(DynamicObject *dyn): Constructor.

Private Static Functions

static SRACoefficients<3> getCoefficients()