libSDE is an open-source Java library for simulating systems of stochastic differential equations (SDEs). SDEs are used to model diverse phenomena such as white noise and Brownian motion (also called Wiener process). Application domains include financial mathematics and economics, signal processing, chemistry, quantum mechanics, meteorology and music.
libSDE implements:
- Itô and Stratonovich schemes
- Euler-Maruyama, Euler-Heun, derivative-free Milstein and Stochastic Runge-Kutta (SRK15) solvers
A brief introduction to the simulation of systems of SDEs is given in Numerical Integration of SDE: A Short Tutorial.
More detailed information is available on http://tschaffter.ch/projects/libsde.