> > For the latter, you would need to be able to take linear combinations of > epsilons. Is that currently possible? >
If I correctly understand what you're saying, then yes. See the Types section of the notebook I previously linked <https://github.com/mlubin/EuroAD2015/blob/master/forwarddiff.ipynb> (the types described will be documented in more detail soon). On Sunday, September 6, 2015 at 7:14:09 PM UTC-4, Eric Forgy wrote: > > I like this. I think AD can be extended in a fairly straightforward manner > to stochastic differentials, e.g. Ito formula. Has anybody looked into > this? That could be interesting for finance applications. > > This could also be interesting for use in other differential algebras. In > particular, extending it to higher degree differential forms could be nice. > > For the latter, you would need to be able to take linear combinations of > epsilons. Is that currently possible? > > For example, > > e = e1 + e2 > > e^2 = e1*e2 + e2*e1 = 0 > > => > > e1*e2 = -e2*e1 > > That would be cool. > >
