stochastic_rk

stochastic_rk, a Python code which implements Runge-Kutta integration methods for stochastic differential equations (SDE).

Licensing:

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

Languages:

stochastic_rk is available in a C version and a C++ version and a Fortran77 version and a Fortran90 version and a MATLAB version and an Octave version and a Python version.

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Reference:

1. Jeremy Kasdin,
   Runge-Kutta algorithm for the numerical integration of stochastic differential equations,
   Journal of Guidance, Control, and Dynamics,
   Volume 18, Number 1, January-February 1995, pages 114-120.
2. Jeremy Kasdin,
   Discrete Simulation of Colored Noise and Stochastic Processes and 1/f^a Power Law Noise Generation,
   Proceedings of the IEEE,
   Volume 83, Number 5, 1995, pages 802-827.

Source Code:

• stochastic_rk_test.m, calls all the tests.
• stochastic_rk_test.sh, runs all the tests.
• stochastic_rk_test.txt, the output file.

• rk1_ti_step_test.png