dq.method.EulerMaruyama

EulerMaruyama(dt: float)

Euler-Maruyama method (fixed step size SDE method).

For a fixed step size \(\dt\), it has weak order of convergence \(\dt\) and strong order of convergence \(\sqrt{\dt}\).

Parameters

• dt –

  Fixed time step.

Supported gradients

This method supports differentiation with dq.gradient.Autograd (default).