# rusde
`rusde` (pronounced like "rusty") implements numerical solvers for stochastic differential equations (SDEs) and their variants, e.g. delayed SDEs and stochastic integro-differential equations.
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### Motivation
Solving stochastic differential equations numerically can be tricky business. The complexity increases greatly when simulating their delayed or integro-differential variants. This library implements a variety of numerical schemes for solving user-specified SDEs with the correctness and speed guaranteed by Rust.
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### Goal Functionality
* Both forward/backward Euler-Maruyama
* Milstein
* Delayed
* Integro-differential SDEs
* Above schemes with jumps (Poisson process)
* Multi-threaded simulations
* Multi-dimensional systems with correlated noise
* Standard example processes that everybody likes and uses
* Solve PDE by stochastic approximation
* Kolmogorov forward/backward equations
* Neural SDEs with backpropagation
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