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Just-in-Time Compilation for Stochastic Differential Equations

Project description

JiTCSDE stands for just-in-time compilation for stochastic differential equations (SDEs). It makes use of the method described by Rackauckas and Nie. JiTCSDE is designed in analogy to JiTCODE: It takes an iterable (or generator function) of SymPy expressions, translates them to C code, compiles them (and an integrator wrapped around them) on the fly, and allows you to operate this integrator from Python. If you want to integrate ordinary or delay differential equations, check out JiTCODE, or JiTCDDE, respectively.

Note that this is work in progress; features and names may change without warning.

This work was supported by the Volkswagen Foundation (Grant No. 88463).

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