StochasticEuler.jl is a lightweight Julia package for integrating real and complex valued high dimensional stochastic differential equations (supporting multi-dimensional noises). Both Ito and Stratonovich SDEs are supported. It also features some additional tools for verifying path-wise stochastic convergence.
The integration method is a fixed stepsize implicit Euler-Heun (Euler-Mayurama) for a Stratonivich (Ito) SDE.
These algorithms are comparable to those published under SDELab.
All relevant functions have docstrings that are accessible via the ? prefix in the REPL or jupyter notebook.
Please check out the example Jupyter notebook for some use cases until a full documentation has been written up.