DifferentialEquations is a Julia package for solving differential equations in a highly performant manner within an underlying unified user interface. Recently, new promising classes of high-order methods for the weak approximation of stochastic differential equations were introduced and those solvers are yet to be implemented in the library. On top of that, Julia currently lacks adjoint sensitivity methods for stochastic differential equations. Adding these tools to the broader ecosystem of DifferentialEquations will attract researchers that seek to simulate (or even control) the dynamics as generated by stochastic differential equations. Possible fields of application range from the simulation of (bio-)chemical processes over financial modeling to quantum mechanics.

Organization

Student

Frank Schäfer

Mentors

  • Yingbo Ma
  • Moritz Schauer
  • ChrisRackauckas
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2020