patrick-kidger / patrick-kidger/diffrax
Simulate SDE with white noise?
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Description
Hi,
I was wondering if it's possible to simulate SDEs using white noise, rather than the brownian motion (e.g. brownian_motion = VirtualBrownianTree(t0, t1, tol=1e-3, shape=(), key=jrandom.PRNGKey(0))) shown in the docs?
I searched around the github but did not see any functions related to white noise.
Kindest regards,
Jake
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Research direction
The issue asks whether SDEs can use white noise instead of the documented Brownian motion example using VirtualBrownianTree. Start by reviewing that documentation example and the available SDE noise interfaces; done means establishing whether white-noise simulation is supported and documenting or clearly scoping the required change.
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Assessment
- Tech stack
- python
- Domain
- backend
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 25/100