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W2Ito1 scheme #571

Merged
merged 9 commits into from
Nov 4, 2024
Merged

W2Ito1 scheme #571

merged 9 commits into from
Nov 4, 2024

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frankschae
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This PR implements the W2Ito1 scheme from Tang, X., & Xiao, A. (2017). Efficient weak second-order stochastic Runge–Kutta methods for Itô stochastic differential equations. BIT Numerical Mathematics,
57, 241-260.

https://link.springer.com/article/10.1007/s10543-016-0618-9

Checklist

  • Appropriate tests were added
  • Any code changes were done in a way that does not break public API
  • All documentation related to code changes were updated -- need to update SDE solver page once it's merged.
  • The new code follows the
    contributor guidelines, in particular the SciML Style Guide and
    COLPRAC.
  • Any new documentation only uses public API

@ChrisRackauckas ChrisRackauckas merged commit 444328d into master Nov 4, 2024
26 of 36 checks passed
@ChrisRackauckas ChrisRackauckas deleted the W2Ito1 branch November 4, 2024 08:14
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2 participants