stochastic_rk, a Fortran77 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 MIT license
stochastic_rk is available in a C version and a C++ version and a Fortran77 version and a Fortran90 version and a MATLAB version.
black_scholes, a Fortran77 library which implements some simple approaches to the Black-Scholes option valuation theory;
COLORED_NOISE, a Fortran77 library which generates samples of noise obeying a 1/f^alpha power law.
FEYNMAN_KAC_2D, a Fortran77 program which demonstrates the use of the Feynman-Kac algorithm for solving a certain 2D partial differential equation.
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_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.
SDE, a Fortran77 library which illustrates the properties of stochastic differential equations (SDE's), and common algorithms for their analysis, by Desmond Higham;
STOCHASTIC_DIFFUSION, Fortran77 functions which implement several versions of a stochastic diffusivity coefficient.