swMATH ID: 35083
Software Authors: Li, Xuechen; Wong, Ting-Kam Leonard; Chen, Ricky T. Q.; Duvenaud, David
Description: torchsde: PyTorch Implementation of Differentiable SDE Solvers. This codebase provides stochastic differential equation (SDE) solvers with GPU support and efficient sensitivity analysis. Similar to torchdiffeq, algorithms in this repository are fully supported to run on GPUs.
Homepage: https://github.com/google-research/torchsde
Source Code:  https://github.com/google-research/torchsde
Dependencies: PyTorch
Related Software: torchdiffeq; GitHub; Adam; sdeint; JiTCDDE; YUIMA; SDELab; Bridge.jl; Matlab; SDE-Solver; JiTCODE; Julia; ItoProcess; LevyArea.jl; SDEModels.jl; JiTCSDE; Sim.DiffProc; StochasticDiffEq.jl; SODECL; SDE Toolbox
Cited in: 5 Documents

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