svStochasticIntegratorSOSRI

class svStochasticIntegratorSOSRI : public svIntegratorStrongStochasticRungeKuttaSRI<4>

#include <svStochasticIntegratorSOSRI.h>

Stability-optimized strong-order 1.5 stochastic integrator for diagonal/scalar Ito SDEs.

This is the SOSRI method (stability-optimized Roessler SRI family), a good general-purpose method for diagonal/scalar Ito SDEs. The coefficients are those of the SOSRI 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

svStochasticIntegratorSOSRI(DynamicObject *dyn): Constructor.

Private Static Functions

static SRICoefficients<4> getCoefficients()