How to customize timestep to have ts=[0, T], instead of [0, 1] where (T>1)
yangysc opened this issue · 1 comments
yangysc commented
Hi,
I want to simulate an Ornstein-Uhlenbeck bridge with terminal value being the final step T
. It is confusing to me how to achieve this by using torchsde since it seems in the document, the final timestep T
of ts
is less or equal to 1.0. So I am wondering that, is there any similar example that can conveniently achieve this? I tried to use the BrownianInterval
by setting t1=ts[-1]=T=10
, and the result is not correct.
Thanks for any advice!
yangysc commented
done...