Module state 

Structs

Increment

Both Brownian increments for one time step. dw = dW = z1 * sqrt(dt) dz = integral_0^dt W(s) ds = (dt/2)*dw - sqrt(dt^3/12)*z2

Traits

Diffusion

Diffusion coefficient interface. apply(x, t, dw) returns the diffusion contribution g(x,t) * dw directly.

NoiseIncrement

Types that can sample a Brownian increment for a given dt.

State

Algebraic requirements for SDE state types. f64 and nalgebra::SVector<f64, N> both satisfy this automatically.