swMATH ID: 44932
Software Authors: Kastner, F., Rößler, A.
Description: LevyArea.jl: Iterated Stochastic Integrals in Julia. This package implements state-of-the-art methods for the simulation of iterated stochastic integrals. These appear e.g. in higher order algorithms for the solution of stochastic (partial) differential equations. A Matlab version of this package is also available under https://github.com/stochastics-uni-luebeck/LevyArea.m
Homepage: https://stochastics-uni-luebeck.github.io/LevyArea.jl/stable/
Source Code:  https://github.com/stochastics-uni-luebeck/LevyArea.jl
Dependencies: Julia
Related Software: YUIMA; SDELab; Bridge.jl; Matlab; SDE-Solver; torchsde; JiTCODE; GitHub; Julia; ItoProcess; SDEModels.jl; sdeint; JiTCSDE; JiTCDDE; Sim.DiffProc; StochasticDiffEq.jl; SODECL; SDE Toolbox
Cited in: 1 Document

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1 Numerical Algorithms

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