NumSDE#
Numerical methods for stochastic differential equations, for teaching and research.
NumSDE provides readable, thoroughly tested reference implementations of numerical schemes for Itô stochastic differential equations
\[
\mathrm{d}X(t) = f(t, X(t))\,\mathrm{d}t + g(t, X(t))\,\mathrm{d}W(t),
\qquad X(t) \in \mathbb{R}^d,\; W(t) \in \mathbb{R}^m,
\]
together with tools for empirical convergence studies.
Note
NumSDE is in early development (milestone M1, core and Euler–Maruyama). The planned scope is described in the architecture and roadmap.
User guide
Reference