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 GNU LGPL 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.


Last revised on 11 April 2020.