Solvers for stochastic differential equations
Project description
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 = 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).
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