svStochasticIntegratorW2Ito1

class svStochasticIntegratorW2Ito1 : public svStochasticIntegratorW2Ito 

#include <svStochasticIntegratorW2Ito1.h>

W2Ito1: Tang & Xiao efficient weak-order-2 method for Ito SDEs (3-stage tableau).

Weak order 2, deterministic order 3, for Ito SDEs of any noise structure (scalar, diagonal, non-diagonal / non-commutative). Shares the Tang & Xiao step of svStochasticIntegratorW2Ito; differs only in its coefficient tableau (Table 2 of the reference below).

Tang, X., Xiao, A. "Efficient weak second-order stochastic Runge-Kutta methods
for Ito stochastic differential equations", BIT Numer. Math. 57, 241-260 (2017).
https://doi.org/10.1007/s10543-016-0618-9

Note

Verified against a reference implementation for scalar, diagonal m>1, and non-diagonal noise (see test_stochasticIntegratorsJulia.py).

Warning

Stochastic integration is in beta.

Public Functions

svStochasticIntegratorW2Ito1(DynamicObject *dyn): Constructor.

Private Static Functions

static W2ItoCoefficients getCoefficients()