Sensitivity Analysis for Stochastic Differential Equations (SDEs) in Julia

Hi everyone,

I’m working on a project that requires sensitivity analysis for Stochastic Differential Equations (SDEs). I’ve been exploring the Julia ecosystem, and while there are excellent tools for ODEs (DifferentialEquations.jl, DiffEqSensitivity.jl), I haven’t found a mature solution specifically for SDEs.

Has anyone successfully implemented these for SDEs in Julia? If so, could you share your experience or point me towards any relevant resources?

Thanks in advance for any insights or suggestions!

DifferentialEquations.jl is for SDEs, and SciMLSensitivity.jl also does SDEs.

Did you read the docs?