Struct SdeProblem 

pub struct SdeProblem<F, G>
where
    F: Fn(f64, &Array1<f64>) -> Array1<f64>,
    G: Fn(f64, &Array1<f64>) -> Array2<f64>,
{
    pub x0: Array1<f64>,
    pub t_span: [f64; 2],
    pub n_brownian: usize,
    pub f_drift: F,
    pub g_diffusion: G,
}

Defines a Stochastic Differential Equation problem of the form:

dx = f(t, x) dt + g(t, x) dW,   x(t0) = x0

where f is the drift coefficient, g is the diffusion matrix, and dW is an m-dimensional Wiener process increment.

Type Parameters

• F - drift function type: Fn(f64, &Array1<f64>) -> Array1<f64>
• G - diffusion function type: Fn(f64, &Array1<f64>) -> Array2<f64>

Fields

x0: Array1<f64>

Initial state vector x(t0), dimension n

t_span: [f64; 2]

Time span [t0, t1]

n_brownian: usize

Number of independent Brownian motions (Wiener processes), m

f_drift: F

Drift coefficient f(t, x): R × R^n → R^n

g_diffusion: G

Diffusion matrix g(t, x): R × R^n → R^{n×m}

Implementations

impl<F, G> SdeProblem<F, G>

where F: Fn(f64, &Array1<f64>) -> Array1<f64>, G: Fn(f64, &Array1<f64>) -> Array2<f64>,

pub fn new( x0: Array1<f64>, t_span: [f64; 2], n_brownian: usize, f_drift: F, g_diffusion: G, ) -> Self

Create a new SDE problem.

Arguments

• x0 - Initial state vector (length n)
• t_span - Time interval [t0, t1]
• n_brownian - Number of independent Brownian motions
• f_drift - Drift function f(t, x) → R^n
• g_diffusion - Diffusion function g(t, x) → R^{n×m}

Errors

Returns an error if the time span is invalid (t0 >= t1).

pub fn dim(&self) -> usize

Dimension of the state space (n)

pub fn validate(&self) -> IntegrateResult<()>

Validate the problem parameters