Lamperti Transforms #140

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ChrisRackauckas opened this issue May 29, 2019 · 0 comments

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ChrisRackauckas commented May 29, 2019

https://arxiv.org/abs/1804.04344
https://www.princeton.edu/~yacine/multivarmle.pdf

Describe a transform that can be used to constrain the SDE problem into something much easier to numerically solve.

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Add multiplicative noise? SciML/StochasticDiffEq.jl#336

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