Crate numra_sde 

SDE (Stochastic Differential Equation) solvers for Numra.

This crate provides methods for solving stochastic differential equations of the form:

dX(t) = f(t, X) dt + g(t, X) dW(t)

where f is the drift, g is the diffusion, and W(t) is a Wiener process.

Solvers

• EulerMaruyama - Simple fixed-step solver (strong order 0.5)
• Milstein - Higher order solver (strong order 1.0)
• Sra1 - Adaptive strong order 1.5 method
• Sra2 - Adaptive weak order 2.0 method

Example

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

// 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());

Author: Moussa Leblouba Date: 2 February 2026 Modified: 2 May 2026

Re-exports

pub use wiener::create_wiener;

pub use wiener::WienerIncrement;

pub use wiener::WienerProcess;

Modules

wiener

Wiener process (Brownian motion) generator.

Structs

EnsembleResult

Result of ensemble simulation.

EnsembleRunner

Ensemble runner for parallel Monte Carlo simulations.

EnsembleStats

Statistics computed from an ensemble of trajectories.

EulerMaruyama

Euler-Maruyama SDE solver.

Milstein

Milstein SDE solver.

Percentiles

Common percentiles.

RunningStats

Running statistics using Welford’s online algorithm.

SdeOptions

Options for SDE solvers.

SdeResult

Result of SDE integration.

Sra1

SRA1 - Adaptive strong order 1.0-1.5 method.

Sra2

SRA2 - Adaptive weak order 2.0 method.

Enums

NoiseType

Type of noise in the SDE.

Traits

Scalar

A real scalar type suitable for numerical computation.

SdeSolver

Trait for SDE solvers.

SdeSystem

Trait for stochastic differential equation systems.

Functions

mean

Compute mean of a slice.

median

Compute median.

percentile

Compute percentile (0-100 scale).

std

Compute sample standard deviation.

variance

Compute sample variance.