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time dependent a/drift and b/noise terms #11
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Implementing higher order schemes for nonautonomous equations are much more involved. This is a deliberate design choice to ease development. |
and does the trick of adding the time dimension work ? or is it highly unstable ? |
without understanding everything ;-) |
If we want to have$dX = sigma(t) * dWt$ , should we just add an extra variable $dt = 1 *dt$ and then use this variable as time ?
For instance,
It works as expected but would it be better to have for drift and noise, a signature like
lambda t,x: ...
?The text was updated successfully, but these errors were encountered: