svStochasticIntegratorSRIW1

class svStochasticIntegratorSRIW1 : public svIntegratorStrongStochasticRungeKuttaSRI<4>

#include <svStochasticIntegratorSRIW1.h>

Strong-order 1.5, weak-order 2 stochastic integrator for diagonal/scalar Ito SDEs.

This is the SRIW1 method (Roessler SRI family). Coefficients for the SRIW1 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

svStochasticIntegratorSRIW1(DynamicObject *dyn): Constructor.

Private Static Functions

static SRICoefficients<4> getCoefficients()