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Published 20 hours ago • verified publisher icon SciML

Stochastic Delay Differential Equations

Open ChrisRackauckas opened this issue 8 years ago • 3 comments

StochasticDiffEq.jl has a very similar structure to OrdinaryDiffEq.jl. With some tweaks it should be possible to make DelayDiffEq.jl handle both of them, in which case we'll have the first stochastic delay differential equation setup which will be really really cool!

ChrisRackauckas avatar Aug 20 '17 05:08 ChrisRackauckas

Here is an SDDE method which just came out. https://www.sciencedirect.com/science/article/pii/S0377042718307738 I think it could be implemented in this nested form?

ChrisRackauckas avatar Jan 19 '19 04:01 ChrisRackauckas

I think I'll try to create a StochasticDelayDiffEq.jl based on this package. It would allow to experiment with the method of steps with already exisiting algorithms for SDE-s and later the SDDE-specific algorithms could be added.

HTSykora avatar Aug 13 '19 11:08 HTSykora

Cool! Let us know if you need any help. StochasticDiffEq.jl has slightly different stepping behavior due to how adaptivity in SDEs works, but it should be doable in about the same manner.

ChrisRackauckas avatar Aug 13 '19 11:08 ChrisRackauckas