C++ code to solve a general stochastic differential equation (SDE)
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Updated
May 14, 2018 - C++
C++ code to solve a general stochastic differential equation (SDE)
Probabilistic space module for stochastic galerkin and stochastic collocation computations
A C++ "Framework" to perform stochastic simulations. Currently mainly focused on the simulation of the magnetisation behavior of nanoparticles in a makrospin approximation
The main focus of this repository is to analysis the fair price and the risk of the Auto-callable Reverse Convertible issued by Credit Suisse AG on 24/10/2017
Simulation of the motion of the eukariotic cell Chlamydomonas Reinhardtii
C++ accelerated python module for simulating magnetic nanostructures
Demonstrates how to price derivatives in a Heston framework, using successive approximations of the invariant distribution of a Markov ergodic diffusion with decreasing time discretization steps. The framework is that of G. Pagès & F. Panloup.
SODECL is a library of ordinary differential equation (ODE) and stochastic differential equation (SDE) solvers in OpenCL.
A C++ implementation of a stochastic level-set method.
A Python library for simulating multilayer magnetic structures.
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