SDEPack
Runge-Kutta Numerical Integration of Stochastic Differential Equations for Python
sdepack is a high-performance Python library for numerically solving scalar
stochastic differential equations (SDEs)
using stochastic Runge-Kutta methods. It offers deterministic, seed-controlled integration of Itô SDEs of the form:
$$dX(t) = F(X, t),dt + Q,G(X, t),dW(t)$$
Solvers range from the first-order Euler-Maruyama scheme to fourth-order stochastic Runge-Kutta methods using Kasdin coefficients.
Quick example
import numpy as np
import sdepack
x = np.zeros(101, dtype=np.float64)
sdepack.rk4_ti_solve(
lambda x: -0.5 * x, # drift
lambda x: 1.0, # diffusion
x, 0.0, 10.0, 1.0, 100, 0.1, 42
)
Installation
pip install sdepack
Requires Python 3.10+ and NumPy. See the full installation guide for conda, poetry, and source builds.
Documentation
- Theory — mathematical background, Itô SDEs, convergence
- Quickstart — runnable examples
- API Reference — solver signatures and parameters
- References — literature citations
License
MIT — see LICENSE.
2 maintainers
Release files for sdepack 0.2.0
For a detailed explanation of source distributions (sdists) and built distributions (wheels), please see the package formats documentation.
Built distributions (wheels)
| File | Reset | |||
|---|---|---|---|---|
| sdepack-0.2.0-cp315-cp315t-win_amd64.whl | CPython 3.15 | CPython 3.15 free-threading | Windows x86-64 | Details |
| sdepack-0.2.0-cp315-cp315t-musllinux_1_2_x86_64.whl | CPython 3.15 | CPython 3.15 free-threading | Linux musl 1.2+ x86-64 | Details |
| sdepack-0.2.0-cp315-cp315t-manylinux_2_27_x86_64.manylinux_2_28_x86_64.whl | CPython 3.15 | CPython 3.15 free-threading | Linux glibc 2.27+ x86-64, Linux glibc 2.28+ x86-64 | Details |
| sdepack-0.2.0-cp315-cp315t-macosx_15_0_arm64.whl | CPython 3.15 | CPython 3.15 free-threading | macOS 15.0+ ARM64 | Details |
| sdepack-0.2.0-cp315-cp315-win_amd64.whl | CPython 3.15 | CPython 3.15 | Windows x86-64 | Details |
| sdepack-0.2.0-cp315-cp315-musllinux_1_2_x86_64.whl | CPython 3.15 | CPython 3.15 | Linux musl 1.2+ x86-64 | Details |
| sdepack-0.2.0-cp315-cp315-manylinux_2_27_x86_64.manylinux_2_28_x86_64.whl | CPython 3.15 | CPython 3.15 | Linux glibc 2.27+ x86-64, Linux glibc 2.28+ x86-64 | Details |
| sdepack-0.2.0-cp315-cp315-macosx_15_0_arm64.whl | CPython 3.15 | CPython 3.15 | macOS 15.0+ ARM64 | Details |
| sdepack-0.2.0-cp314-cp314t-win_amd64.whl | CPython 3.14 | CPython 3.14 free-threading | Windows x86-64 | Details |
| sdepack-0.2.0-cp314-cp314t-musllinux_1_2_x86_64.whl | CPython 3.14 | CPython 3.14 free-threading | Linux musl 1.2+ x86-64 | Details |
| sdepack-0.2.0-cp314-cp314t-manylinux_2_27_x86_64.manylinux_2_28_x86_64.whl | CPython 3.14 | CPython 3.14 free-threading | Linux glibc 2.28+ x86-64, Linux glibc 2.27+ x86-64 | Details |
| sdepack-0.2.0-cp314-cp314t-macosx_15_0_arm64.whl | CPython 3.14 | CPython 3.14 free-threading | macOS 15.0+ ARM64 | Details |
| sdepack-0.2.0-cp314-cp314-win_amd64.whl | CPython 3.14 | CPython 3.14 | Windows x86-64 | Details |
| sdepack-0.2.0-cp314-cp314-musllinux_1_2_x86_64.whl | CPython 3.14 | CPython 3.14 | Linux musl 1.2+ x86-64 | Details |
| sdepack-0.2.0-cp314-cp314-manylinux_2_27_x86_64.manylinux_2_28_x86_64.whl | CPython 3.14 | CPython 3.14 | Linux glibc 2.27+ x86-64, Linux glibc 2.28+ x86-64 | Details |
| sdepack-0.2.0-cp314-cp314-macosx_15_0_arm64.whl | CPython 3.14 | CPython 3.14 | macOS 15.0+ ARM64 | Details |
| sdepack-0.2.0-cp313-cp313-win_amd64.whl | CPython 3.13 | CPython 3.13 | Windows x86-64 | Details |
| sdepack-0.2.0-cp313-cp313-musllinux_1_2_x86_64.whl | CPython 3.13 | CPython 3.13 | Linux musl 1.2+ x86-64 | Details |
| sdepack-0.2.0-cp313-cp313-manylinux_2_27_x86_64.manylinux_2_28_x86_64.whl | CPython 3.13 | CPython 3.13 | Linux glibc 2.27+ x86-64, Linux glibc 2.28+ x86-64 | Details |
| sdepack-0.2.0-cp313-cp313-macosx_15_0_arm64.whl | CPython 3.13 | CPython 3.13 | macOS 15.0+ ARM64 | Details |
| sdepack-0.2.0-cp312-cp312-win_amd64.whl | CPython 3.12 | CPython 3.12 | Windows x86-64 | Details |
| sdepack-0.2.0-cp312-cp312-musllinux_1_2_x86_64.whl | CPython 3.12 | CPython 3.12 | Linux musl 1.2+ x86-64 | Details |
| sdepack-0.2.0-cp312-cp312-manylinux_2_27_x86_64.manylinux_2_28_x86_64.whl | CPython 3.12 | CPython 3.12 | Linux glibc 2.27+ x86-64, Linux glibc 2.28+ x86-64 | Details |
| sdepack-0.2.0-cp312-cp312-macosx_15_0_arm64.whl | CPython 3.12 | CPython 3.12 | macOS 15.0+ ARM64 | Details |
| sdepack-0.2.0-cp311-cp311-win_amd64.whl | CPython 3.11 | CPython 3.11 | Windows x86-64 | Details |
| sdepack-0.2.0-cp311-cp311-musllinux_1_2_x86_64.whl | CPython 3.11 | CPython 3.11 | Linux musl 1.2+ x86-64 | Details |
| sdepack-0.2.0-cp311-cp311-manylinux_2_27_x86_64.manylinux_2_28_x86_64.whl | CPython 3.11 | CPython 3.11 | Linux glibc 2.28+ x86-64, Linux glibc 2.27+ x86-64 | Details |
| sdepack-0.2.0-cp311-cp311-macosx_15_0_arm64.whl | CPython 3.11 | CPython 3.11 | macOS 15.0+ ARM64 | Details |
| sdepack-0.2.0-cp310-cp310-win_amd64.whl | CPython 3.10 | CPython 3.10 | Windows x86-64 | Details |
| sdepack-0.2.0-cp310-cp310-musllinux_1_2_x86_64.whl | CPython 3.10 | CPython 3.10 | Linux musl 1.2+ x86-64 | Details |
| sdepack-0.2.0-cp310-cp310-manylinux_2_27_x86_64.manylinux_2_28_x86_64.whl | CPython 3.10 | CPython 3.10 | Linux glibc 2.28+ x86-64, Linux glibc 2.27+ x86-64 | Details |
| sdepack-0.2.0-cp310-cp310-macosx_15_0_arm64.whl | CPython 3.10 | CPython 3.10 | macOS 15.0+ ARM64 | Details |
Total release size: 38.3 MB
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