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New solvers #30

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4 of 9 tasks

patrick-kidger opened this issue Aug 18, 2020 · 2 comments

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patrick-kidger commented Aug 18, 2020 •

edited

Creating an issue to keep track of the various solvers that would be nice to add (eventually):
Ito

Derivative-free Milstein ref (Milstein (Strat), Milstein grad-free (Ito + Strat) #31)
Talay
SRK: DRI1 ref

Stratonovich

Euler-Heun ref (Euler-Heun method #39)
Milstein ref (Milstein (Strat), Milstein grad-free (Ito + Strat) #31)
Derivative-free Milstein ref (Milstein (Strat), Milstein grad-free (Ito + Strat) #31)
Ninomiya-Victoir ref
SRK: Komori ref
SRK: Rossler ref

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lxuechen commented Aug 19, 2020

Adding to this thread I would also advocate for including more high weak order schemes and implicit schemes.

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patrick-kidger commented Aug 19, 2020

I agree. IIRC both of the SRKs, and NV, are high weak order schemes.

lxuechen added this to the v0.2.0 milestone

patrick-kidger modified the milestones: v0.2.0, 0.3.0?

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