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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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