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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.Direct, dq.gradient.BackwardCheckpointed (default) and dq.gradient.Forward.