sde_test
sde_test,
a C++ code which
calls sde(), which
illustrates the properties of stochastic differential equations and some
algorithms for handling them,
making graphics files for processing and display by gnuplot,
by Desmond Higham.
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,
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.
-
bpath_data.txt,
data from BPATH.
-
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.
-
chain.png,
a plot of the CHAIN data.
-
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.
-
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 11 April 2020.