Module: svStochasticIntegratorW2Ito2

class svStochasticIntegratorW2Ito2 : public svIntegratorWeakStochasticRungeKutta<4>

#include <svStochasticIntegratorW2Ito2.h>

Weak-order 2, ODE-order 4 stochastic integrator.

Method is described in the following paper, coefficients according to Table 3:

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

Warning

Stochastic integration is in beta.

Public Functions

svStochasticIntegratorW2Ito2(DynamicObject *dyn)

Constructor.

Private Static Functions

static SRKCoefficients<4> getCoefficients()