SciML / SciML/DiffEqCallbacks.jl
Quadrature for stochastic differential equation solutions
Open
Nobody has claimed this yet.
- Dominant language
- Julia
- Stars
- 100
- Forks
- 54
- Avg merge
- 3h 29m
- Merged PRs (30d)
- 8
Description
- https://projecteuclid.org/proceedings/advanced-studies-in-pure-mathematics/Taniguchi-Conference-on-Mathematics-Nara-98/Chapter/Approximation-of-Expectation-of-Diffusion-Process-and-Mathematical-Finance/10.2969/aspm/03110147
- https://link.springer.com/chapter/10.1007/978-4-431-68450-3_4
- https://link.springer.com/article/10.1007/s10208-015-9277-5
- https://people.bath.ac.uk/tjs42/assets/pubs/R32.pdf
- https://arxiv.org/abs/1712.08152
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start by reviewing the five linked papers on quadrature and approximation for diffusion processes and stochastic differential equations. The issue names no source files, tests, entry point, or acceptance criteria, so the implementation scope and what would count as done require clarification.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- julia
- Domain
- backend
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 25/100