SDE, a FORTRAN77 code 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.
The library requires access to the QR_SOLVE library as well.
The original version of these routines is available at "http://www.maths.strath.ac.uk/~aas96106/algfiles.html".
The computer code and data files made available on this web page are distributed under the GNU LGPL license.
sde is available in a C version and a C++ version and a Fortran90 version and a MATLAB versionand an Octave version.
black_scholes, a FORTRAN77 library which implements some simple approaches to the Black-Scholes option valuation theory, by Desmond Higham.
brownian_motion_simulation, a FORTRAN77 program which simulates Brownian motion in an M-dimensional region.
colored_noise, a FORTRAN77 library which generates samples of noise obeying a 1/f^alpha power law.
CORRELATION, a FORTRAN77 library which contains examples of statistical correlation functions.
GNUPLOT, FORTRAN77 programs which illustrate how a program can write data and command files so that gnuplot can create plots of the program results.
ORNSTEIN_UHLENBECK, a FORTRAN77 library which approximates solutions of the Ornstein-Uhlenbeck stochastic differential equation (SDE) using the Euler method and the Euler-Maruyama method.
PCE_BURGERS, a FORTRAN77 program which defines and solves a version of the time-dependent viscous Burgers equation, with uncertain viscosity, using a polynomial chaos expansion in terms of Hermite polynomials, by Gianluca Iaccarino.
PCE_ODE_HERMITE, a FORTRAN77 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 FORTRAN77 library which computes a "pink noise" signal obeying a 1/f power law.
QR_SOLVE, a FORTRAN77 library which computes the least squares solution of a linear system A*x=b.
STOCHASTIC_DIFFUSION, a FORTRAN77 library which implements several versions of a stochastic diffusivity coefficient.
STOCHASTIC_RK, a FORTRAN77 library which applies a Runge Kutta (RK) scheme to a stochastic differential equation.
Original MATLAB version by Desmond Higham. This version by John Burkardt.