Fix backwards-in-time solve for SRKs#746
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patrick-kidger merged 2 commits intopatrick-kidger:mainfrom Apr 20, 2026
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sammccallum
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The dtype promotion was needed to two more places. Sorry about that, Patrick |
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No worries! And merged 🎉 Thanks for identifying the problem and the solution :) I appreciate you make this happen! |
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The
AbstractSRKmethods produced incorrect solutions when solving backwards-in-time. The fix proposed in #598 and #599 got the methods to converge but with incorrect strong orders. This PR gets the methods back to their correct strong orders.The two key points are:
AbstractSRKmethods have two internal times: unsignedhand signed return fromdrift.contr(t0, t1)WrapTermmultiplies the Levy areas bydirection, but the space-time Levy areaHshould remain unchangedThe
test_sde1.pytest has been edited to now check strong order for both forwards and backwards in time.