svStochasticIntegratorSRA1

class svStochasticIntegratorSRA1 : public svIntegratorStrongStochasticRungeKuttaSRA<2>

#include <svStochasticIntegratorSRA1.h>

Strong-order 1.5, weak-order 2 stochastic integrator for additive-noise SDEs.

This is the SRA1 method (Roessler SRA family). Coefficients for the SRA1 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

svStochasticIntegratorSRA1(DynamicObject *dyn): Constructor.

Private Static Functions

static SRACoefficients<2> getCoefficients()