SDElib: Creating, solving and analyzing stochastic differential equations - A program written in Python 3.5

Abstract

This paper is about a Python package called sdelib intended to work with stochastic differential equations (SDEs). The package can solve SDEs, estimate strong and weak orders of convergence of SDEs, and plot stability regions of the scalar test equation. All these tasks can both be done through writing Python scripts, and through a graphical user interface (GUI). The report starts with a background chapter about the mathematics of SDEs, an then details how to use this package, how it was designed, and discusses the design, performance and features of sdelib.