sde_test

sde_test, a C code which calls sde() to illustrate the properties of stochastic differential equations and some algorithms for handling them, making graphics files for processing and display by gnuplot.

Licensing:

The information on this web page is distributed under the MIT license.

Related Data and Programs:

sde, a C code which illustrates properties of stochastic ordinary differential equations (SDE), and common algorithms for their analysis, including the Euler method, the Euler-Maruyama method, and the Milstein method, making graphics files for processing and display by gnuplot, by Desmond Higham;

Source Code:

• sde_test.c, a sample calling program.
• sde_test.sh, runs all the tests.
• sde_test.txt, the output file.

The calling program creates various data and command files which can be used with GNUPLOT to create images.

• bpath_commands.txt, commands to plot the data from BPATH.
• bpath_data.txt, data from BPATH.
• bpath.png, a plot of the BPATH data.
• bpath_average_commands.txt, commands to plot the data from BPATH_AVERAGE.
• bpath_average_data.txt, data from BPATH_AVERAGE.
• bpath_average.png, a plot of the BPATH_AVERAGE data.
• chain_commands.txt, commands to plot the data from CHAIN.
• chain_data.txt, data from CHAIN.
• chain.png, a plot of the CHAIN data.
• em_commands.txt, commands to plot the data from EM.
• em1_data.txt, data from EM.
• em2_data.txt, data from EM.
• em.png, a plot of the EM data.
• emstrong_commands.txt, commands to plot the data from EMSTRONG.
• emstrong_data.txt, data from EMSTRONG.
• emstrong.png, a plot of the EMSTRONG data.
• emweak0_commands.txt, commands to plot the data from EMWEAK with the standard EM method.
• emweak0_data.txt, data from EMWEAK with the standard EM method.
• emweak0.png, a plot of the data from EMWEAK with the standard EM method.
• emweak1_commands.txt, commands to plot the data from EMWEAK with the weak EM method.
• emweak1_data.txt, data from EMWEAK with the weak EM method.
• emweak1.png, a plot of the data from EMWEAK with the weak EM method.
• milstrong_commands.txt, commands to plot the MILSTRONG data.
• milstrong_data.txt, data from MILSTRONG.
• milstrong.png, a plot of the strong convergence data from MILSTRONG.
• stab_asymptotic_commands.txt, commands to plot the STAB_ASYMPTOTIC data.
• stab_asymptotic_data1.txt, data from STAB_ASYMPTOTIC.
• stab_asymptotic_data2.txt, data from STAB_ASYMPTOTIC.
• stab_asymptotic_data3.txt, data from STAB_ASYMPTOTIC.
• stab_asymptotic.png, a plot of the asymptotic stability results from STAB_ASYMPTOTIC.
• stab_meansquare_commands.txt, commands to plot the STAB_MEANSQUARE data.
• stab_meansquare_data1.txt, data from STAB_MEANSQUARE.
• stab_meansquare_data2.txt, data from STAB_MEANSQUARE.
• stab_meansquare_data3.txt, data from STAB_MEANSQUARE.
• stab_meansquare.png, a plot of the meansquare stability results from STAB_MEANSQUARE.