xSPDE: Extensible software for stochastic equations. We introduce an extensible software toolbox, xSPDE, for solving ordinary and partial stochastic differential equations. The toolbox makes extensive use of vector and parallel methods. Inputs are exceptionally simple, to reduce the learning curve, with default options for all of the many input parameters. The code calculates functional means, correlations and spectra, checks for errors in both time-step and sampling, and provides several choices of algorithm. Most aspects of the code, including the numerical algorithm, have a modular functional design to allow user modifications.
References in zbMATH (referenced in 1 article )
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- Kuznetsov, Mikhail Dmitrievich; Kuznetsov, Dmitriy Feliksovich: SDE-MATH: a software package for the implementation of strong high-order numerical methods for Ito SDEs with multidimensional non-commutative noise based on multiple Fourier-Legendre series (2021)