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 computer code and data files made available on this web page
are distributed under
the MIT license
Related Data and Programs:
sde,
a C code which
illustrates properties of
stochastic ordinary differential equations (SODE's), 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:
The calling program creates various data and command files which
can be used with GNUPLOT to create images.
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bpath_commands.txt,
commands to plot the data from BPATH.
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bpath_data.txt,
data from BPATH.
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bpath.png,
a plot of the BPATH data.
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bpath_average_commands.txt,
commands to plot the data from BPATH_AVERAGE.
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bpath_average_data.txt,
data from BPATH_AVERAGE.
-
bpath_average.png,
a plot of the BPATH_AVERAGE data.
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chain_commands.txt,
commands to plot the data from CHAIN.
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chain_data.txt,
data from CHAIN.
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chain.png,
a plot of the CHAIN data.
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em_commands.txt,
commands to plot the data from EM.
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em1_data.txt,
data from EM.
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em2_data.txt,
data from EM.
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em.png,
a plot of the EM data.
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emstrong_commands.txt,
commands to plot the data from EMSTRONG.
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emstrong_data.txt,
data from EMSTRONG.
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emstrong.png,
a plot of the EMSTRONG data.
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emweak0_commands.txt,
commands to plot the data from EMWEAK with the standard EM method.
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emweak0_data.txt,
data from EMWEAK with the standard EM method.
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emweak0.png,
a plot of the data from EMWEAK with the standard EM method.
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emweak1_commands.txt,
commands to plot the data from EMWEAK with the weak EM method.
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emweak1_data.txt,
data from EMWEAK with the weak EM method.
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emweak1.png,
a plot of the data from EMWEAK with the weak EM method.
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milstrong_commands.txt,
commands to plot the MILSTRONG data.
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milstrong_data.txt,
data from MILSTRONG.
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milstrong.png,
a plot of the strong convergence data from MILSTRONG.
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stab_asymptotic_commands.txt,
commands to plot the STAB_ASYMPTOTIC data.
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stab_asymptotic_data1.txt,
data from STAB_ASYMPTOTIC.
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stab_asymptotic_data2.txt,
data from STAB_ASYMPTOTIC.
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stab_asymptotic_data3.txt,
data from STAB_ASYMPTOTIC.
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stab_asymptotic.png,
a plot of the asymptotic stability results from STAB_ASYMPTOTIC.
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stab_meansquare_commands.txt,
commands to plot the STAB_MEANSQUARE data.
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stab_meansquare_data1.txt,
data from STAB_MEANSQUARE.
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stab_meansquare_data2.txt,
data from STAB_MEANSQUARE.
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stab_meansquare_data3.txt,
data from STAB_MEANSQUARE.
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stab_meansquare.png,
a plot of the meansquare stability results from STAB_MEANSQUARE.
Last revised on 04 August 2019.