2006.1: SDELab: stochastic differential equations with MATLAB
2006.1: Hagen Gilsing and Tony Shardlow (2006) SDELab: stochastic differential equations with MATLAB.
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Abstract
We introduce SDELab, a package for solving stochastic differential equations (SDEs) within MATLAB. SDELab features explicit and implicit integrators for a general class of Ito and Stratonovich SDEs, including Milstein's method, sophisticated algorithms for iterated stochastic integrals, and flexible plotting facilities.
| Item Type: | MIMS Preprint |
|---|---|
| Subjects: | MSC 2000 > 34 Ordinary differential equations MSC 2000 > 60 Probability theory and stochastic processes MSC 2000 > 65 Numerical analysis |
| MIMS number: | 2006.1 |
| Deposited By: | Tony Shardlow |
| Deposited On: | 05 January 2006 |
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