是否有一个python模块来解决/集成随机微分方程系统? [英] Is there a python module to solve/integrate a system of stochastic differential equations?

问题描述

我有一个我想求解的随机微分方程组.我希望这个问题已经解决.我有点担心构造自己的求解器，因为我担心求解器太慢，并且可能存在数值稳定性问题.

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.

是否存在用于此类问题的python模块?

Is there a python module for such problems?

如果没有，是否存在解决此类系统的标准方法.

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

推荐答案

有一个: http ://diffusion.cgu.edu.tw/ftp/sde/

该站点的示例:

""" 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)

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