Struct MilsteinSolver 

pub struct MilsteinSolver { /* private fields */ }

Milstein method for a scalar SDE (strong order 1.0).

Update rule for the 1D SDE dX = f(X,t) dt + g(X,t) dW:

X(t+dt) = X(t) + f dt + g ΔW + 0.5 g g' (ΔW² - dt)

where g' = ∂g/∂X.

Implementations

impl MilsteinSolver

pub fn new( drift: impl Fn(f64, f64) -> f64 + Send + Sync + 'static, diffusion: impl Fn(f64, f64) -> f64 + Send + Sync + 'static, diffusion_deriv: impl Fn(f64, f64) -> f64 + Send + Sync + 'static, ) -> Self

Create a Milstein solver for a scalar SDE.

Arguments

• drift — f(x, t) (scalar drift)
• diffusion — g(x, t) (scalar diffusion coefficient)
• diffusion_deriv — ∂g/∂x(x, t) (derivative of g with respect to state)

pub fn step_scalar(&self, x: f64, t: f64, dt: f64, rng: &mut SimpleRng) -> f64

One Milstein step for the scalar SDE.

Trait Implementations

impl SdeSolver for MilsteinSolver

fn step(&self, x: &[f64], t: f64, dt: f64, rng: &mut SimpleRng) -> Vec<f64>

Milstein step adapted to the generic SdeSolver trait (scalar SDE, n=1, m=1).