sde_test


sde_test, a C program 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 GNU LGPL license.

Related Data and Programs:

sde, a C library 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.


Last revised on 04 August 2019.