This repository contains numerical examples for the paper "On the Convergence of Adaptive Approximations for Stochastic Differential Equations" which can be found at TBA.
This code is based on the Diffrax package by Patrick Kidger, which is available at github.com/patrick-kidger/diffrax. The documentation for Diffrax can be found at docs.kidger.site/diffrax.
The code for the SABR model example is in notebooks/SABR.ipynb.
To use this code, clone the repository and install the requirements:
git clone https://github.com/andyElking/Adaptive_SABR.git
cd Adaptive_SABR/
pip install -e .