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Julia package for integrating stochastic differential equations (SDE's)

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ntezak/StochasticEuler.jl

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StochasticEuler

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StochasticEuler.jl is a lightweight Julia package for integrating real and complex valued high dimensional stochastic differential equations (supporting multi-dimensional noises). Both Ito and Stratonovich SDEs are supported. It also features some additional tools for verifying path-wise stochastic convergence.

The integration method is a fixed stepsize implicit Euler-Heun (Euler-Mayurama) for a Stratonivich (Ito) SDE. These algorithms are comparable to those published under SDELab. All relevant functions have docstrings that are accessible via the ? prefix in the REPL or jupyter notebook.

Please check out the example Jupyter notebook for some use cases until a full documentation has been written up.

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Julia package for integrating stochastic differential equations (SDE's)

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