numra-sde 0.1.4

Stochastic differential equation solvers for Numra: Euler-Maruyama, Milstein, adaptive SRA1/SRA2, ensemble runner.
Documentation

numra-sde

Stochastic differential equation solvers for the Numra workspace — Euler-Maruyama, Milstein, adaptive SRA1 / SRA2, with built-in Monte Carlo ensemble runner.

Crates.io docs.rs

Solves SDEs dX = f(t, X) dt + g(t, X) dW with strong-order 0.5 / 1.0 fixed-step and adaptive higher-order methods. The ensemble runner parallelizes Monte Carlo realizations via Rayon and ships with running-statistics primitives.

Example

use numra_sde::{EulerMaruyama, SdeOptions, SdeSolver, SdeSystem};

// Geometric Brownian Motion: dS = μS dt + σS dW
struct Gbm { mu: f64, sigma: f64 }

impl SdeSystem<f64> for Gbm {
    fn dim(&self) -> usize { 1 }
    fn drift(&self, _t: f64, x: &[f64], f: &mut [f64]) { f[0] = self.mu * x[0]; }
    fn diffusion(&self, _t: f64, x: &[f64], g: &mut [f64]) { g[0] = self.sigma * x[0]; }
}

let gbm = Gbm { mu: 0.05, sigma: 0.2 };
let opts = SdeOptions::default().dt(0.01);
let result = EulerMaruyama::solve(&gbm, 0.0, 1.0, &[100.0], &opts, None);
assert!(result.is_ok());

What's in this crate

Solvers:

  • EulerMaruyama — strong order 0.5, fixed step
  • Milstein — strong order 1.0 (Itô)
  • Sra1 — adaptive strong order 1.5 for additive-noise SDEs
  • Sra2 — adaptive weak order 2.0

Ensemble & noise:

  • EnsembleRunner / EnsembleResult — Rayon-parallel Monte Carlo
  • WienerProcess / WienerIncrement / create_wiener — reproducible Brownian increments
  • RunningStats, EnsembleStats, mean, variance, std, median, percentile, Percentiles — online and offline summaries

Composes with

  • numra-spde — SDE time-stepping inside the Method-of-Lines for stochastic PDEs
  • numra-stats — descriptive statistics on ensemble trajectories
  • numra-interp — resampling sample paths onto common time grids
  • numra-signal — filtering and peak detection on noisy realizations

See cross-formalism tests for SDE reproducibility and composition checks.

Install

[dependencies]
numra-sde = "0.1"

Or via the umbrella crate:

[dependencies]
numra = "0.1"

Documentation

License

Numra Academic & Research License (Non-Commercial). Academic and research use is free; commercial use requires a separate license — contact contact@spectralautomata.com. See LICENSE.