155 citations · 517 across the 15 of their papers we have counts for
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math.NA2024
Single-seed generation of Brownian paths and integrals for adaptive and high order SDE solvers
Andraž Jelinčič, James Foster, Patrick Kidger
Despite the success of adaptive time-stepping in ODE simulation, it has so far seen few applications for Stochastic Differential Equations (SDEs). To simulate SDEs adaptively, meth…
math.OC2024★ 2 cited
Optimistix: modular optimisation in JAX and Equinox
Jason Rader, Terry Lyons, Patrick Kidger
We introduce Optimistix: a nonlinear optimisation library built in JAX and Equinox. Optimistix introduces a novel, modular approach for its minimisers and least-squares solvers. Th…