ornstein_uhlenbeck_test


ornstein_uhlenbeck_test, a C++ code which calls ornstein_uhlenbeck(), 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.

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Related Data and Programs:

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().

Source Code:

OU_EULER is data created by the OU_EULER routine:

OU_EULER_MARUYAMA is data created by the OU_EULER_MARUYAMA routine:


Last revised on 29 March 2020.