I want to compare different SDE solvers against the analytical solution for the Ornstein-Uhlenbeck process . Currently I am doing this by solving numerically first (e.g. Euler-Maruyama), saving the noise, and calculating the integral solution, e.g. [Screen Shot 2020-04-10 at 10.39.52] …

Calculating the analytical solution of an Ornstein-Uhlenbeck SDE

ChrisRackauckas April 10, 2020, 6:04pm 3

You might want to join our Slack if you have more questions.

Topic		Replies	Views
How to set a fixed stepsize in SDE Monte Carlo problem? New to Julia question , sde	3	674	April 5, 2019
DifferentialEquations.jl SDE, multiple solvers sharing the same noise Numerics diffeq , sde	0	584	December 18, 2018
Running a Stratonovich SDE backwards New to Julia diffeq , sde	4	748	April 12, 2021
Return Noise used in SDE Solution Modelling & Simulations sde	1	377	February 28, 2021
Get error when solving SDEs after last update Modelling & Simulations diffeq , sde	3	1313	April 4, 2018