Open
Conversation
Owner
|
If you want Davie approximations to Levy area then I think we had that in torchsde. It does exist! |
Contributor
Author
This torchsde package sounds pretty neat, I might have to check it out ;). But yea, this is basically the same Levy area as in torchsde (well, it's a work in progress). The difficulty seems to come in for weak schemes that have non-previsible adaptive steps, then (per James) sampling A is hard. |
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
2 participants
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
We don't add this to the VBT because we don't know how to (to quote James "Perhaps some fancy coupling is possible here, but it's probably quite difficult."). But one thing we are still thinking about was the best approach to generalize this to non vector Wiener processes. Because we need this antisymmetric matrix, but we can't do b + b.T necessarily. Maybe the solver is ill-defined for Wiener processes greater than 1D @frankschae