pythonstochasticintegrator

Is there a python module to solve/integrate a system of stochastic differential equations?


I have a system of stochastic differential equations that I would like to solve. I was hoping that this issue was already address. I am a bit concerned about constructing my own solver because I fear my solver would be too slow, and there could be the issues with numerical stability.

Is there a python module for such problems?

If not, is there a standard approach for solving such systems.


Solution

  • There is one: http://diffusion.cgu.edu.tw/ftp/sde/

    Example from the site:

    """ add required Python packages """
    from pysde import *
    from sympy import *
    """ Variables acclaimed """
    x,dx=symbols('x dx')
    r,G,e,d=symbols('r G epsilon delta')
    """ Solve Kolmogorov Forward Equation """
    l=sde.KolmogorovFE_Spdf(r*(G-x),e*x*(1-x),0,1)
    sol=l.subs({e:r*d})
    
    pprint(sol)