Running a Stratonovich SDE backwards

I’m very new to Julia, SDE’s and DifferentialEquations, so please bear with me. I need to solve a Stratonovich SDE both forward and backward in time, and arrive at the exact same solution. I understand that this should be possible to do using the EulerHeun solver but I haven’t gotten it to work.

This is what I have so far. I tried to adapt the code used in this answer to a related question about solving an SDE en separate windows in a consistent manner.

using DifferentialEquations, RandomNumbers

# Define the problem
f(dx, x, u, t) = (dx .= x)
g(dx, x, u, t) = (dx .= x)
dt = 2^(-6)

# Solve for 0-1
rng = Xorshifts.Xoroshiro128Plus(1)
x0 = [1 / 2]
tspan = (0., 1.)
noise = WienerProcess(0., 0., rng=rng, reseed=false)
prob = SDEProblem(f, g, x0, tspan, noise=noise)
sol_part1 = solve(prob, EulerHeun(), dt=dt)
plot(noise.t,noise.u)

# Solve for 1-0
fback(dx, x, u, t) = (dx .= -x) # reverse drift
gback(dx, x, u, t) = (dx .= -x) # reverse diffusion
x1 = sol_part1.u[end] # start from the end
prob = SDEProblem(fback,gback, x1, reverse(tspan), noise=noise) # reverse tspan
sol_part2 = solve(prob, EulerHeun(), dt=-dt) # negate dt
sol_part2.u[end][1] ≈ x0[1] # not even remotely similar

@frankschae has done a lot of this:

See the tests in:

That should help you get a working version.

3 Likes

Do you have to feed the reverse of the noise?

This is exactly the paper I’m trying to replicate. Thank you so much!

yes, to go along the same noise values (or noise values drawn from the bridge distribution) of the forward pass.