Is there a python module for solving / integrating a system of stochastic differential equations?

Question

I have a system of stochastic differential equations that I would like to solve. I was hoping this question was already addressed. I am a little worried about creating my own solver, because I am afraid that my solver will be too slow, and there may be problems with numerical stability.

Is there a python module for such problems?

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

Answer 1

There is one: http://diffusion.cgu.edu.tw/ftp/sde/

Example from the site:

""" 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*(Gx),e*x*(1-x),0,1) sol=l.subs({e:r*d}) pprint(sol)