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Make the quadrature-based discretize slower but more robust
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nathanaelbosch committed Jan 3, 2024
1 parent 49da52b commit d0c00d8
Showing 1 changed file with 1 addition and 1 deletion.
2 changes: 1 addition & 1 deletion src/priors/ltisde.jl
Original file line number Diff line number Diff line change
Expand Up @@ -59,7 +59,7 @@ function _discretize_sqrt_with_quadraturetrick(sde::LTISDE, dt::Real)

D = size(F, 1)
d = size(L, 2)
N = Int(D / d)
N = D # more robust than Int(D / d)
R = similar(F, N * d, D)
method = ExpMethodHigham2005()
expcache = ExponentialUtilities.alloc_mem(F, method)
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