Implicit SDE Solvers?

[josephjclarke]

It looks like all the SDE solvers are explicit - are there plans to add any implicit solvers for stochastic equations?

[patrick-kidger]

Hi there! So if you want a Stratonovich solution and implicit-drift + implicit diffusion, then you can probably just use the existing implicit ODE solvers. For the more common 'implicit drift only' SDE solvers then we don't currently have these built in, but I imagine they could be implemented without too much difficulty. Take a look at e.g. diffrax.EulerHeun for an example of an SDE solver and diffrax.ImplicitEuler for an example of an implicit solver; it would mostly just be a matter of combining the right ideas from each.