include/sk_scheme.h

   1 /* Apache 2.0 INS-AMU 2015 */
   2
   3 #ifndef SK_SCHEME_H
   4 #define SK_SCHEME_H
   5
   6 #include "sk_solv.h"
   7
   8 /* Euler-Maruyama O(1) general purpose */
   9 typedef struct {
  10         double *f, *g, *z;
  11 } sk_sch_em_data;
  12
  13 int sk_sch_em_init(sk_sch_em_data *d, int nx);
  14
  15 void sk_sch_em_free(sk_sch_em_data *d);
  16
  17 SK_DEFSCH(sk_sch_em);
  18
  19 /* E-M for colored noise, derived from Fox 1998,
  20  * (no proof of convergence for multiplicate noise!)
  21  */
  22 typedef struct {
  23         int first_call;
  24         double *f, *g, *z, *eps, lam;
  25 } sk_sch_emcolor_data;
  26
  27 int sk_sch_emcolor_init(sk_sch_emcolor_data *d, int nx, double lam);
  28
  29 void sk_sch_emcolor_free(sk_sch_emcolor_data *d);
  30
  31 SK_DEFSCH(sk_sch_emcolor);
  32
  33 /* c.f. Manella 2002, O(2) in drift term, additive noise only */
  34 typedef struct {
  35         double *fl, *fr, *gl, *gr, *z, *xr;
  36 } sk_sch_heun_data;
  37
  38 int sk_sch_heun_init(sk_sch_heun_data *d, int nx);
  39
  40 void sk_sch_heun_free(sk_sch_heun_data *d);
  41
  42 SK_DEFSCH(sk_sch_heun);
  43
  44 /* TODO http://arxiv.org/pdf/1506.05708v1.pdf LL for mult noise  */
  45 SK_DEFSCH(llmult);
  46
  47 #endif