r-rdtq
Implementation of density tracking by quadrature (DTQ) algorithms for stochastic differential equations (SDEs). DTQ algorithms numerically compute the density function of the solution of an SDE with user-specified drift and diffusion functions. The calculation does not require generation of sample paths, but instead proceeds in a deterministic fashion by repeatedly applying quadrature to the Chapman-Kolmogorov equation associated with a discrete-time approximation of the SDE. The DTQ algorithm is provably convergent. For several practical problems of interest, we have found the DTQ algorithm to be fast, accurate, and easy to use.