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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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
|Deposited By:||Tony Shardlow|
|Deposited On:||05 January 2006|