Stochastic Differential Equations Python Packages

torchsde

Differentiable SDE solvers with GPU support and efficient sensitivity analysis.

stochastic

Generate realizations of stochastic processes in python.

cmtj

Simulate multilayer magnetic structures in Python and C++

sde-sim-rs

Powerful and flexible stochastic differential equation (quasi) Monte-Carlo simulation library written in Rust with Python bindings

diffeqpy

Solving differential equations in Python using DifferentialEquations.jl and the SciML Scientific Machine Learning organization

tme

Taylor moment expansion in Python

derivatives-pricing

A Python library for options pricing and Greeks computation.

pymle-diffusion

Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)

aleatory

Stochastic Processes Simulation and Visualisation

sdepy

SdePy: Numerical Integration of Ito Stochastic Differential Equations

langevin

Tools to integrate Langevin equations for directed-percolation and absorbing phase transition models

mccube

Markov Chain Cubature via JAX. Efficient SDE solving and Bayesian inference.

kramersmoyal

kramersmoyal: Kramers-Moyal coefficients for stochastic data of any dimension, to any desired order

esgtoolkit

Diffusion models for finance, insurance, economics, physics

pydiffuser

A simulation framework for nonequilibrium statistical physics

deterministicparticleflowcontrol

Repository for Deterministic Particle Flow Control framework

pydaddy

Python package to discover stochastic differential equations from time series data

pybdynamics

Python package for simulation and data analysis of interacting colloidal particle systems.

optosim

Library containing functions for simulating levitated nanoparticles by solving the Stochastic Differential Equation describing their motion.

nssvie

Numerical solution of stochastic Volterra integral equations via a stochastic operational matrix based on block pulse functions.