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Update sde_premade_problems.jl
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src/sde_premade_problems.jl

Lines changed: 8 additions & 8 deletions
Original file line numberDiff line numberDiff line change
@@ -18,10 +18,10 @@ linear_analytic(u0,p,t,W) = @.(u0*exp(0.63155t+0.87W))
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```math
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du_t = βudt + αudW_t
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```
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where β=1.01, α=0.87, and initial condtion u0=1/2, with solution
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where ``β=1.01``, ``α=0.87``, and initial condtion ``u_0=1/2``, with solution
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```math
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u(u0,p,t,W_t)=u0\exp((α-\frac{β^2}{2})t+βW_t)
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u(u0,p,t,W_t)=u_0\exp((α-\frac{β^2}{2})t+βW_t)
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```
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"""
@@ -40,10 +40,10 @@ f_linear_iip(du,u,p,t) = @.(du = 1.01*u)
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```math
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du_t = βudt + αudW_t
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```
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where β=1.01, α=0.87, and initial condtion u0=1/2 with solution
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where ``β=1.01``, ``α=0.87``, and initial condtion ``u_0=\frac{1}{2}`` with solution
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```math
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u(u0,p,t,W_t)=u0\exp((α-\frac{β^2}{2})t+βW_t)
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u(u0,p,t,W_t)=u_0\exp((α-\frac{β^2}{2})t+βW_t)
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```
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"""
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prob_sde_2Dlinear = SDEProblem(SDEFunction(f_linear_iip,σ_linear_iip,
@@ -62,7 +62,7 @@ ff_cubic = SDEFunction(f_cubic,σ_cubic,analytic = cubic_analytic)
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du_t = \frac{1}{4}u(1-u^2)dt + \frac{1}{2}(1-u^2)dW_t
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```
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and initial condtion u0=1/2, with solution
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and initial condtion ``u_0=\frac{1}{2}``, with solution
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```math
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u(u0,p,t,W_t)=\frac{(1+u0)\exp(W_t)+u0-1}{(1+u0)\exp(W_t)+1-u0}
@@ -79,7 +79,7 @@ ff_wave = SDEFunction(f_wave,σ_wave,analytic=wave_analytic)
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du_t = -\frac{1}{100}\sin(u)\cos^3(u)dt + \frac{1}{10}\cos^{2}(u_t) dW_t
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```
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and initial condition `u0=1.0` with solution
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and initial condition ``u_0=1`` with solution
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```math
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u(u0,p,t,W_t)=\arctan(\frac{W_t}{10} + \tan(u0))
@@ -99,7 +99,7 @@ Additive noise problem
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u_t = (\frac{β}{\sqrt{1+t}}-\frac{1}{2(1+t)}u_t)dt + \frac{αβ}{\sqrt{1+t}}dW_t
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```
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and initial condition u0=1.0 with α=0.1 and β=0.05, with solution
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and initial condition ``u_0=1`` with ``α=0.1`` and ``β=0.05``, with solution
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```math
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u(u0,p,t,W_t)=\frac{u0}{\sqrt{1+t}} + \frac{β(t+αW_t)}{\sqrt{1+t}}
@@ -136,7 +136,7 @@ dy = (x*(ρ-z) - y)dt + αdW_t
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dz = (x*y - β*z)dt + αdW_t
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```
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with ``σ=10``, ``ρ=28``, ``β=8/3``, ``α=3.0`` and inital condition ``u0=[1;1;1]``.
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with ``σ=10``, ``ρ=28``, ``β=8/3``, ``α=3.0`` and inital condition ``u_0=[1;1;1]``.
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"""
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prob_sde_lorenz = SDEProblem(f_lorenz,σ_lorenz,ones(3),(0.0,10.0),(10.0,28.0,2.66))
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