Alex, Thanks for pointing out SDE.jl. If I continue, a name like StochasticDifferentialEquations.jl or Stochastic.jl would do. I should have found that earlier. The author clearly knows much more about the material than I do and has spent a lot of time developing the package. SDE.jl also seems to have a fairly broad set of functionality more tailored to the scientific community. However, it looks largely abandoned at the moment. The documentation looks pretty good, and it provides a simiilar implementation of Euler Maruyama.
Avik, This really just comes down to a matter of preference. I personally prefer a more self-contained solution such as used with most ODE solvers, but that may be just a matter of naivete. Mostly, it just seems thin to me. I had considered wrapping Ito at the time, but it didn't seem that I would gain much by doing so. In retrospect, I did not understand Julia as well at the time, and the usage of StochasticProcess made less sense to me at the time. My personal use cases will tend toward simulation of control systems and multi-robot systems. These use cases are likely simpler with less strict requirements than other applications. In my case speed is the biggest issue as I have been working with simulations having tens of thousands of variables but otherwise just having a linear system with noise. Thus, although I have made an effort to get to know the theory better (and will continue to if I decide to continue to pursue this project) my understanding of SDEs is probably still fairly simplistic. It looks to me, like much of what I would be able to provide has already been done. The need that I thought existed might just be a matter of lack of publicity. If anyone still sees a need for a different package for any of the reasons I mentioned (or otherwise for that matter) I will consider continued development. Otherwise, I will either leave as-is or continue development with a focus on personal use. Thanks for all the help. Micah On Sunday, January 18, 2015 at 5:57:59 PM UTC-7, Avik Sengupta wrote: > > Hi Micah, > > I intend Ito to only contain specific financial products/algos. My > thinking has been that all core math should be in external packages. Having > said that, I'd be happy for any feedback on Ito itself. Please feel free to > open issues with any comments on taste or correctness. > > Regards > - > Avik > > On Sunday, 18 January 2015 06:21:41 UTC, 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 >> >
