By: SciML

Re-posted from: https://sciml.ai/2018/04/15/StableSDE.html

These are features long hinted at. The
Arxiv paper is finally up and the new
methods from that paper are the release. In this paper I wanted to “complete”
the methods for additive noise and attempt to start enhancing the methods for
diagonal noise SDEs. Thus while it focuses on a constrained form of noise, this
is a form of noise present in a lot of models and, by using the constrained form,
allows for extremely optimized methods. See the
updated SDE solvers documentation
for details on the new methods. Here’s what’s up!