Resync SDE noise when late add_tstop! shortens dt - #4041
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Fixed-step EM could step past a tstop added after init because the Wiener increment still matched the original dt. After modify_dt_for_tstops!, resample noise to the shortened dt, and keep RSWM from expanding dt while tstops remain.
ChrisRackauckas
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Jul 28, 2026
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thanks for this. It was almost right, but it needed to use a bit more of the RSWM internals to make sure the increment size change gets propagated through the bridge distribution. I finished it up in #4095 |
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Summary
modify_dt_for_tstops!, resample the pending noise increment whenW.dtno longer matches the integratordt(lateadd_tstop!afteriniton fixed-step EM; [SDE] EM solver accepts incompatible tstop behind current time #3175 / StochasticDiffEq#413).dtinstead of letting RSWM expand it viaW.dt.add_tstop!throw check in StochasticDiffEqtstops_tests.jl.Test plan
lib/StochasticDiffEq/test/tstops_tests.jl(new [SDE] EM solver accepts incompatible tstop behind current time #3175 cases)init(SDEProblem(...), EM(); dt=0.02),add_tstop!(i, 0.01),step!(i)lands att == 0.01LambaEM()add_tstop!still throws