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: | https://eprints.maths.manchester.ac.uk/id/eprint/134 |
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