pychastic 0.2.2

Solvers for stochastic differential equations

PyChastic

All python stochastic differential equations (SDE) solver.

Built for stochastic simulations of hydrodynamically interacting brownian particles (molecular dynamics), but can do much more (such as option pricing in stochastic volitality models).

Uses jax, jax.jit and jax.grad for performace and ease of use.

Usage

import pychastic
problem = pychastic.sde_problem.SDEProblem(lambda x: 0.2*x,lambda x: 0.5*x,1.0,2.0)
solver = pychastic.sde_solver.SDESolver()
trajectory = solver.solve(problem)

import matplotlib.pyplot as plt
plt.plot(trajectory['time_values'],trajectory['solution_values'])
plt.show()

License

This software is licensed under MIT license

Copyright (c) Radost Waszkiewicz and Maciej Bartczak (2021).

How to cite

Waszkiewicz, R., Bartczak M., Kolasa K. and Lisicki M. Pychastic: Precise Brownian Dynamics using Taylor-Ito integrators in Python; Sci-Post (submitted) (2022)