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Implementing predictor corrector method for SDEs #247

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onoderat opened this issue Feb 9, 2018 · 4 comments
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Implementing predictor corrector method for SDEs #247

onoderat opened this issue Feb 9, 2018 · 4 comments

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@onoderat
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onoderat commented Feb 9, 2018 •
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The predictor corrector method of order 0.5 from Stochastics and Dynamics, Vol. 8, No. 3 (2008) 561–581 is a useful solver because it has better stability than EM. It also has order 1 scaling for many problems even though it is proven to be order 0.5. This is convenient as the solver does not require any Wiktorsson approximations for general non-commuting SDEs.
@ChrisRackauckas
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Thanks for the issue. From the Gitter: do you want to take a stab at implementing or should I take it?

@onoderat
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onoderat commented Feb 9, 2018

I would like to give it a shot for a couple of days since I want to learn more about the DiffEq ecosystem.

@ChrisRackauckas
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Alright, let me know if you need more help than the devdocs.

@ChrisRackauckas ChrisRackauckas mentioned this issue Feb 14, 2018
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@ChrisRackauckas
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Complete! SciML/StochasticDiffEq.jl#53

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@ChrisRackauckas @onoderat