Module sde 

Stochastic differential equation solvers — Euler–Maruyama and Milstein.

Supports two drift types:

• GBM: dX = μ·X·dt + σ·X·dW (geometric Brownian motion, e.g. prices)
• OU: dX = θ·(μ − X)·dt + σ·dW (Ornstein–Uhlenbeck, mean reversion)

Milstein adds the second-order correction 0.5·σ·σ'·X·(ΔW² − dt), which is non-zero only for GBM (the OU diffusion is constant).

Also provides a two-level multilevel Monte Carlo (MLMC) extrapolation: E ≈ E_fine + (E_fine − E_coarse) — a cheap variance-reduction trick for terminal-statistic estimates.

Structs

MlMcResult

Result of a multilevel Monte Carlo run.

SdeConfig

SDE configuration.

SdeResult

Terminal statistics over all paths.

Enums

DriftType

SDE drift type.

Solver

Solver scheme.

Functions

solve

Solve the SDE and return terminal-value statistics.

solve_mlmc

Two-level multilevel Monte Carlo estimate of the mean terminal value.