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!