STOCHASTIC_RK, a C++ code which implements Runge-Kutta integration methods for stochastic differential equations.
The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.
STOCHASTIC_RK is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.
BLACK_SCHOLES, a C++ library which implements some simple approaches to the Black-Scholes option valuation theory;
COLORED_NOISE, a C++ library which generates samples of noise obeying a 1/f^alpha power law.
FEYNMAN_KAC_2D, a C++ program which demonstrates the use of the Feynman-Kac algorithm for solving certain partial differential equations.
ORNSTEIN_UHLENBECK, a C++ library which approximates solutions of the Ornstein-Uhlenbeck stochastic differential equation (SDE) using the Euler method and the Euler-Maruyama method.
PCE_ODE_HERMITE, a C++ program which sets up a simple scalar ODE for exponential decay with an uncertain decay rate, using a polynomial chaos expansion in terms of Hermite polynomials.
PINK_NOISE, a C++ library which computes a "pink noise" signal obeying a 1/f power law.
SDE, a C++ library which illustrates the properties of stochastic differential equations (SDE's), and common algorithms for their analysis, by Desmond Higham;
STOCHASTIC_DIFFUSION, a C++ library which implements several versions of a stochastic diffusivity coefficient.