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  1. high-order-splitting high-order-splitting Public

    High order numerical simulation of SDEs satisfying a commutativity condition

    C++ 3

  2. igbm-simulation igbm-simulation Public

    Numerical simulation of Inhomogeneous Geometric Brownian Motion (IGBM)

    C++

  3. high-order-langevin high-order-langevin Public

    High order numerical simulation of the underdamped Langevin diffusion

    R 1

  4. levy-area-simulation levy-area-simulation Public

    Numerical simulation of Brownian Lévy area

    Jupyter Notebook

  5. markov-chain-cubature markov-chain-cubature Public

    Numerical simulation of Markov chains as clouds of particles using cubature formulae

    Python

  6. sle-simulation sle-simulation Public

    Numerical simulation of the Schramm-Loewner Evolution (SLE)

    Python 1