ornstein_uhlenbeck_test, a Fortran90 code which calls ornstein_uhlenbeck(), which approximates solutions of the Ornstein-Uhlenbeck stochastic differential equation (SDE) using the Euler method and the Euler-Maruyama method, and creating graphics files for processing by gnuplot().
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ornstein_uhlenbeck, a Fortran90 code which approximates solutions of the Ornstein-Uhlenbeck stochastic ordinary differential equation (SODE) using the Euler method and the Euler-Maruyama method, and creating graphics files for processing by gnuplot().
OU_EULER is data created by the OU_EULER routine:
OU_EULER_MARUYAMA is data created by the OU_EULER_MARUYAMA routine: