Hi! I am researcher working with problems related to optimal stopping/switching problems, and I have an issue where I need to, in a for loop, advance one time step (size dt) of an SDE for lots of previous states. And I am doing this recursively in a dynamic programming way, so I cannot directly gen…

Doing repeated Euler-steps in a simulation, Differentialequations.jl

ChrisRackauckas June 12, 2023, 7:48am 2

Or use discrete callbacks

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