sde_srk4_step

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sde_srk4_step#

class braintools.quad.sde_srk4_step(df, dg, y, t, *args, **kwargs)#

Stochastic Runge–Kutta 4 (Stratonovich; classical RK4).

Applies the classical 4-stage RK4 tableau to the Stratonovich increment F(y,t) = f(y,t) dt + g(y,t) dW with a single shared Brownian dW:

  • k1 = F(y, t)

  • k2 = F(y + 0.5 k1, t + 0.5 dt)

  • k3 = F(y + 0.5 k2, t + 0.5 dt)

  • k4 = F(y + k3, t + dt)

  • y_{n+1} = y + (k1 + 2 k2 + 2 k3 + k4)/6

Notes

  • Suitable for Stratonovich SDEs. For Itô SDEs, conversions require additional correction terms (not included here).

Returns:

The updated state y_{n+1}.

Return type:

PyTree

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