Suggestions for stochastic differential equation (SDE) subroutine or library

Dear all,

In a recent project, I would need to use stochastic differential equation (SDE) solver in a part of my code. I know Julia have a package called differentialequation.jl which has SDE solver.

However, I am more interested in see if we can find corresponding Fortran packages/subroutines/libraries for SDE.
Because as @jacobwilliams, @Beliavsky, @certik suggested, a fortran package called FLINT could be like at least 10 times faster than the version in Julia.
Therefore I am curious about how the Fortran SDE solver performs.

May I ask, do you have any recommendations or experience for stochastic differential equation (SDE) solver?

Sorry if the topic is a little overlapped with

But this topic is for SDE only.

Thank you very much indeed!

1 Like

google “Fortran stochastic differential equation”

Second hit is SDE - Stochastic Differential Equations

I leave it as an exercise for you to research Desmond Higham.