JiTCSDE stands for just-in-time compilation for stochastic differential equations (SDEs). It makes use of the method described by Rackauckas and Mie. JiTCSDE is designed in analogy to JiTCODE: It takes an iterable (or generator function) of SymPy expressions, translates them to C code, compiles them (and an integrator wrapped around them) on the fly, and allows you to operate this integrator from Python.
Note that this is work in progress; features and names may change without warning.
This work was supported by the Volkswagen Foundation (Grant No. 88463).
