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Would it be possible to add a class with a simple general difussion? Something like $dX_t = b(t, X_t) dt + \sigma(t, X_t) dW_t$ where the functions $\sigma$ and $b$ passed as arguments to the class initialization are both functions of time and space.
I imagine in some circunstances (non-Lipschitz) the behaviour of the solution can't be ensured or easily controlled. But a simple warning in the docs should suffice and maybe some examples of how it fails would be academically interesting for the users.
Best.
The text was updated successfully, but these errors were encountered:
Would it be possible to add a class with a simple general difussion? Something like$dX_t = b(t, X_t) dt + \sigma(t, X_t) dW_t$ where the functions $\sigma$ and $b$ passed as arguments to the class initialization are both functions of time and space.
I imagine in some circunstances (non-Lipschitz) the behaviour of the solution can't be ensured or easily controlled. But a simple warning in the docs should suffice and maybe some examples of how it fails would be academically interesting for the users.
Best.
The text was updated successfully, but these errors were encountered: