ornstein_uhlenbeck_test, a C code which calls ornstein_uhlenbeck() to approximate 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.
The computer code and data files described and made available on this web page are distributed under the MIT license
ornstein_uhlenbeck, a C code which approximates solutions of the Ornstein-Uhlenbeck stochastic ordinary differential equation (SODE) using the Euler method and the Euler-Maruyama method, and creating graphics files for processing by gnuplot().
OU_EULER is data created by the OU_EULER routine:
OU_EULER_MARUYAMA is data created by the OU_EULER_MARUYAMA routine: