torchsde 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 all top 5 Cited by 14 Authors 1 Cass, Thomas Richard 1 Daskalakis, Constantinos 1 Félix, Paulo 1 García, Constantino A. 1 Jaimungal, Sebastian 1 Karniadakis, George Em 1 Kastner, Felix 1 Lyons, Terence John 1 Otero, Abraham 1 Presedo, Jesús M. 1 Rößler, Andreas 1 Salvi, Cristopher 1 Yang, Liu 1 Yang, Weixin Cited in 5 Serials 1 Journal of Computational Physics 1 Numerical Algorithms 1 SIAM Journal on Scientific Computing 1 Finance and Stochastics 1 SIAM Journal on Mathematics of Data Science all top 5 Cited in 6 Fields 2 Probability theory and stochastic processes (60-XX) 2 Statistics (62-XX) 2 Numerical analysis (65-XX) 2 Computer science (68-XX) 1 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1 Systems theory; control (93-XX) Citations by Year