/Stochastic-Calculus

Stochastic Calculus Example Code

Primary LanguageJupyter Notebook

Stochastic-Calculus

This repo contains numerical studies closely following A First Course in Stochastic Calculus Louis-Pierre Arguin. The notebook contains code to achieve the following:

Sampling stochastic processes

Including how to sample stochastic processes following SDE using different levels of accuracy schemes. SDE sampling

Solving PDE with stochastic processes

Solving the 1-dimension heat equation by sampling Brownian motion heat rod