About Neural Jump SDEs (Jump Diffusions) and Neural PDEs

General Usage
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1

Hello everyone, I’m following the code from Chris about Neural Jumsp SDEs:
https://www.juliabloggers.com/neural-jump-sdes-jump-diffusions-and-neural-pdes/

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)

2

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

3

Thanks Chris, do you mean this post:
http://www.stochasticlifestyle.com/neural-jump-sdes-jump-diffusions-and-neural-pdes/

But the code also has the sam error.

4

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.

5

Thank you so much Chris! Now it works!