Does SQL Server have any built-in functions to work with julian dates?

A. No, you have to code your own sp. Here is some sample code - originally from Roy Harvey.

1. Assuming the Julian date is held as a char
   declare @julian char(8)
   select @julian='1996.031'
   declare @dt datetime
   
   select @dt=DATEADD(dd,convert(int,right(@julian,3)) -1,convert(datetime,substring(@julian,1,4)+'0101',212))
   
   select @dt
2. Julian date in decimal format - e.g. 99123 is 123rd day of 1999 held in variable SDDRQJ.
   select DATEADD(day,CONVERT(int,SDDRQJ)-((1000*(CONVERT(int,SDDRQJ)/1000)))-1, DATEADD(year,CONVERT(int,SDDRQJ/1000),'1 Jan 1900'))