SDELab: stochastic differential equations with MATLAB

Gilsing, Hagen and Shardlow, Tony (2006) SDELab: stochastic differential equations with MATLAB. [MIMS Preprint]

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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 2010, the AMS's Mathematics Subject Classification > 34 Ordinary differential equations
MSC 2010, the AMS's Mathematics Subject Classification > 60 Probability theory and stochastic processes
MSC 2010, the AMS's Mathematics Subject Classification > 65 Numerical analysis
Depositing User: Tony Shardlow
Date Deposited: 05 Jan 2006
Last Modified: 20 Oct 2017 14:12
URI: http://eprints.maths.manchester.ac.uk/id/eprint/134

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