Stochastic Delay Differential Equations

[ChrisRackauckas]

StochasticDiffEq.jl has a very similar structure to OrdinaryDiffEq.jl. With some tweaks it should be possible to make DelayDiffEq.jl handle both of them, in which case we'll have the first stochastic delay differential equation setup which will be really really cool!

[ChrisRackauckas]

Here is an SDDE method which just came out. https://www.sciencedirect.com/science/article/pii/S0377042718307738 I think it could be implemented in this nested form?

[HTSykora]

I think I'll try to create a StochasticDelayDiffEq.jl based on this package.
It would allow to experiment with the method of steps with already exisiting algorithms for SDE-s and later the SDDE-specific algorithms could be added.

[ChrisRackauckas]

Cool! Let us know if you need any help. StochasticDiffEq.jl has slightly different stepping behavior due to how adaptivity in SDEs works, but it should be doable in about the same manner.