ornstein_uhlenbeck_test

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().

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Related Data and Programs:

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().

Source Code:

• ornstein_uhlenbeck_test.f90, a sample calling program.
• ornstein_uhlenbeck_test.sh, runs all the tests.
• ornstein_uhlenbeck_test.txt, the output file.

OU_EULER is data created by the OU_EULER routine:

• ou_euler_data.txt, solution data.
• ou_euler_commands.txt, gnuplot commands to plot the data
• ou_euler.png, a PNG image of the data.

OU_EULER_MARUYAMA is data created by the OU_EULER_MARUYAMA routine:

• ou_euler_maruyama_data.txt, solution data.
• ou_euler_maruyama_commands.txt, gnuplot commands to plot the data
• ou_euler_maruyama.png, a PNG image of the data.