Engee documentation

RODE Solvers

Currently, the only implemented method is the RandomEM method in StochasticDiffEq.jl. It is strong order alpha for an alpha-Holder continuous noise process.

Full List of Methods

StochasticDiffEq.jl

Each of the StochasticDiffEq.jl solvers come with a linear interpolation.

  • RandomEM- The Euler-Maruyama method for RODEs. Strong order matching Holder continuity.

Example usage:

sol = solve(prob, RandomEM(), dt = 1 / 100)