This example is a 4-dimensional geometric brownian motion. The code
for the torchsde version is pulled directly from the
torchsde README
so that it would be a fair comparison against the author's own code.
The only change to that example is the addition of a dt
choice so that
the simulation method and time step matches between the two different programs.
The SDE is solved 100 times. The summary of the results is as follows: