ornstein_uhlenbeck_test

ornstein_uhlenbeck_test, a Fortran77 code which calls ornstein_uhlenbeck(), which approximates solutions of the Ornstein-Uhlenbeck stochastic differential equation (SDE) using the Euler method and the Euler-Maruyama method, and creating graphics files for processing by gnuplot().

Licensing:

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

Related Data and Programs:

ornstein_uhlenbeck, a Fortran77 code which approximates solutions of the Ornstein-Uhlenbeck stochastic differential equation (SDE) using the Euler method and the Euler-Maruyama method, and creating graphics files for processing by gnuplot().

Source Code:

• ornstein_uhlenbeck_test.f, a sample calling program.
• ornstein_uhlenbeck_test.sh, BASH commands to compile and run the sample program.
• ornstein_uhlenbeck_test.txt, the output file.

• ornstein_uhlenbeck_euler_data.txt, solution data.
• ornstein_uhlenbeck_euler_commands.txt, gnuplot commands to plot the data
• ornstein_uhlenbeck_euler.png, a PNG image of the data.

• ornstein_uhlenbeck_euler_maruyama_data.txt, solution data.
• ornstein_uhlenbeck_euler_maruyama_commands.txt, gnuplot commands to plot the data
• ornstein_uhlenbeck_euler_maruyama.png, a PNG image of the data.