Hi Micah, This sounds great! I would be very interested in a dedicated SDE package and I guess others would be as well. At some point I wrote a solver based on the Heun method, but it needs some cleanup before I dare to post it.
AFAIK the name SDE.jl <https://github.com/mschauer/SDE.jl> is already taken ... Best, Alex. On Sunday, 18 January 2015 07:21:41 UTC+1, Micah Corah wrote: > > I have been working on a project involving large systems of stochastic > differential equations. I considered using Ito.jl (to my knowledge the only > package with features for SDEs), but it was not quite to my tastes and did > not seem to offer much. In response, I wrote my own solver based on the > tutorial "An Algorithmic Introduction to Numerical Simulation of Equations" > by Desmond Higham (Euler-Maruyama) and have spent some time optimizing it. > Would this be something that people would be interested in using? > > > There are some small changes that I would have to make for theoretical > correctness, but otherwise it looks fairly nice to me. If I do turn this > into its own package I will fix any of these latent issues and also work on > adding support for features such as different algorithms and distributions. > Then we would have Ito.jl for quantitative finance and SDE.jl (or whatever > I call it) for controls, dynamical systems, etc. > > > Currently this code is on github with the code for a personal project I am > working on at https://github.com/mcorah/MultiQuadLift >
