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55 search results found

Financial Models Numerical Methods ⭐ 5,086

Collection of notebooks about quantitative finance, with interactive python code.

Differentialequations.jl ⭐ 2,689

Multi-language suite for high-performance solvers of differential equations and scientific machine learning (SciML) components. Ordinary differential equations (ODEs), stochastic differential equations (SDEs), delay differential equations (DDEs), differential-algebraic equations (DAEs), and more in Julia.

Torchsde ⭐ 1,357

Differentiable SDE solvers with GPU support and efficient sensitivity analysis.

Modelingtoolkit.jl ⭐ 1,292

An acausal modeling framework for automatically parallelized scientific machine learning (SciML) in Julia. A computer algebra system for integrated symbolics for physics-informed machine learning and automated transformations of differential equations

Diffeqflux.jl ⭐ 810

Universal neural differential equations with O(1) backprop, GPUs, and stiff+non-stiff DE solvers, demonstrating scientific machine learning (SciML) and physics-informed machine learning methods

Score_sde ⭐ 782

Official code for Score-Based Generative Modeling through Stochastic Differential Equations (ICLR 2021, Oral)

Scimltutorials.jl ⭐ 698

Tutorials for doing scientific machine learning (SciML) and high-performance differential equation solving with open source software.

Score_sde_pytorch ⭐ 679

PyTorch implementation for Score-Based Generative Modeling through Stochastic Differential Equations (ICLR 2021, Oral)

Diffeqpy ⭐ 456

Solving differential equations in Python using DifferentialEquations.jl and the SciML Scientific Machine Learning organization

Stochastic ⭐ 317

Generate realizations of stochastic processes in python.

Image Restoration Sde ⭐ 299

Image Restoration with Mean-Reverting Stochastic Differential Equations, ICML 2023. Winning solution of the NTIRE 2023 Image Shadow Removal Challenge.

Diffeqbase.jl ⭐ 282

The lightweight Base library for shared types and functionality for defining differential equation and scientific machine learning (SciML) problems

Diffeqoperators.jl ⭐ 279

Linear operators for discretizations of differential equations and scientific machine learning (SciML)

Stochasticdiffeq.jl ⭐ 229

Solvers for stochastic differential equations which connect with the scientific machine learning (SciML) ecosystem

Diffeqr ⭐ 127

Solving differential equations in R using DifferentialEquations.jl and the SciML Scientific Machine Learning ecosystem

Diffeqbayes.jl ⭐ 119

Extension functionality which uses Stan.jl, DynamicHMC.jl, and Turing.jl to estimate the parameters to differential equations and perform Bayesian probabilistic scientific machine learning

Bayesde ⭐ 101

Code for "Infinitely Deep Bayesian Neural Networks with Stochastic Differential Equations"

Official Code Repository for the paper "Score-based Generative Modeling of Graphs via the System of Stochastic Differential Equations" (ICML 2022)

Example codes for the book Applied Stochastic Differential Equations

Aleatory ⭐ 83

📦 Python library for Stochastic Processes Simulation and Visualisation

Python package to discover stochastic differential equations from time series data

Bridge.jl ⭐ 77

A statistical toolbox for diffusion processes and stochastic differential equations. Named after the Brownian Bridge.

Diffeqparamestim.jl ⭐ 60

Easy scientific machine learning (SciML) parameter estimation with pre-built loss functions

Numerical Methods Fortran ⭐ 54

Solving linear, nonlinear equations, ordinary differential equations, ... using numerical methods in fortran

Sdetools ⭐ 53

Matlab Toolbox for the Numerical Solution of Stochastic Differential Equations

Diffeqproblemlibrary.jl ⭐ 51

A library of premade problems for examples and testing differential equation solvers and other SciML scientific machine learning tools

Geometricintegrators.jl ⭐ 46

Geometric Numerical Integration in Julia

Kramersmoyal ⭐ 39

kramersmoyal: Kramers-Moyal coefficients for stochastic data of any dimension, to any desired order

Hierarchical continuous time state space modelling

A Python library for spin magnetics in Magnetic Tunnel Junctions and multilayer magnetic structures.

Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)

Viforsdes ⭐ 25

A variational method for fast, approximate inference for stochastic differential equations.

Diffeqfinancial.jl ⭐ 23

Differential equation problem specifications and scientific machine learning for common financial models

Dissertation ⭐ 20

Zheng Zhao's doctoral dissertation from Aalto University

SdePy: Numerical Integration of Ito Stochastic Differential Equations

Variational Inference for Langevin Equations

A C++ implementation of a stochastic level-set method.

Moleculesde ⭐ 15

A Group Symmetric Stochastic Differential Equation Model for Molecule Multi-modal Pretraining, ICML'23

Criticaltransitions.jl ⭐ 14

A Julia package for critical transitions in dynamical systems with time-dependent forcing

Markovbounds.jl ⭐ 14

A Julia package for the computation of hard, theoretically guaranteed bounds on the moments of jump-diffusion processes with polynomial data

Jdmbs: An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies

State-space deep Gaussian processes in Python and Matlab

Numerical experiments with stochastic differential equations in Haskell

Mcmc Estimation Of Stochastic Differential Equations Papers ⭐ 8

A list (quite disorganized for now) of papers tackling the Bayesian estimation of Ito processes (and their discrete time version)

Matlab Toolbox for Simulation, Analysis, and Design of Stable Heteroclinic Channel Networks

Deterministicparticleflowcontrol ⭐ 8

Repository for Deterministic Particle Flow Control framework

Deep Multilevel Kolmogorov Pde Solver ⭐ 8

Solving stochastic differential equations and Kolmogorov equations by means of deep learning and Multilevel Monte Carlo simulation

Stochastic ⭐ 8

Pychastic is a stochastic differential equations integrator written entirely in python.

Chirp instantaneous frequency estimation using stochastic differential equation Gaussian processes

SODECL is a library of ordinary differential equation (ODE) and stochastic differential equation (SDE) solvers in OpenCL.

Taylor moment expansion in Python (JaX and SymPy) and Matlab

Sim.diffproc ⭐ 7

An R package for symbolic and numerical computations on scalar and multivariate systems of stochastic differential equations (SDEs). It provides users with a wide range of tools to simulate, estimate, analyze, and visualize the dynamics of these systems in both forms Itô and Stratonovich <doi:10.18637/jss.v096.i02>.

Esgtoolkit ⭐ 6

Tools for Stochastic Simulation using diffusion models (R).

Neural Operator With Regularity Structure ⭐ 5

Sde_sampler ⭐ 5

Improved sampling via learned diffusions (ICLR2024) and an optimal control perspective on diffusion-based generative modeling (SBM@NeurIPS2022)

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