DifferentialEquations.jl SDE, multiple solvers sharing the same noise


#1

Thanks to the authors of DifferentialEquations.jl, it is quite a nice package.

I would like to evaluate the numerical accuracy of multiple solvers for an SDE. For this, I intend to numerically solve for the same path, i.e. using two different solvers but let them share the same noise realization of the Brownian noise.

Where I now solve a SDEProblem using a single solve,

sol = solve(prob,SOSRA(),dt=0.05,adaptive=true)

I would ideally like to be able to write something like

sols = solve(prob,[SOSRA(),SRIW1()],dt=0.05,adaptive=true)

and obtain a pair of solutions, sols[1] and sols[2] which share the same noise realization.

I have searched through the documentation and have been unable to find a way to explicitly share the noise. Is it possible?

Thanks,
Sebastian