Heun

class brainpy.integrators.sde.Heun(f, g, dt=None, name=None, show_code=False, var_type=None, intg_type=None, wiener_type=None, state_delays=None)

The Euler-Heun method for Stratonovich integral scheme.

Its mathematical expression is given by

\[\begin{split}\begin{aligned} Y_{n+1} &=Y_{n}+f_{n} h+\frac{1}{2}\left[g_{n}+g\left(\bar{Y}_{n}\right)\right] \Delta W_{n} \\ \bar{Y}_{n} &=Y_{n}+g_{n} \Delta W_{n} \\ \Delta W_{n} &=\left[W_{t+h}-W_{t}\right] \sim \sqrt{h} \mathcal{N}(0,1) \end{aligned}\end{split}\]

See also

Euler