About Neural Jump SDEs (Jump Diffusions) and Neural PDEs

Hello everyone, I’m following the code from Chris about Neural Jumsp SDEs:

I tried to run the code in this blog but have the error message:
UndefVarError: MonteCarloProblem not defined

when it runs Line.19:
monte_prob = MonteCarloProblem(prob)

That post is extremely old. I would just refer to the much more recent documentation examples.

Thanks Chris, do you mean this post:

But the code also has the sam error.

That’s the same post. JuliaBloggers is just a copy from it. It’s like 3-4 years old now and before the major releases of most of the involved packages. And most of those examples have better versions in the package documentation now (SciMLSensitivity: Automatic Differentiation and Adjoints for (Differential) Equation Solvers · SciMLSensitivity.jl) so I’d recommend just checking the documentations.

Thank you so much Chris! Now it works!