google-research/torchsde

How to customize timestep to have ts=[0, T], instead of [0, 1] where (T>1)

yangysc opened this issue · 1 comments

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!

done...