sde_test

sde_test, a FORTRAN90 code which calls sde(), 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.

Licensing:

The computer code and data files made available on this web page are distributed under the MIT license

Related Data and Programs:

sde, a FORTRAN90 code which illustrates properties of stochastic ordinary differential equations (SODE), and common algorithms for their analysis, including the Euler method, the Euler-Maruyama method, and the Milstein method, by Desmond Higham;

Source Code:

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

The calling program creates various data and command files which can be used with GNUPLOT to create images.

• bpath_commands.txt, commands to plot the data from BPATH.
• bpath_data.txt, data from BPATH.
• bpath.png, a plot of the BPATH data.
• bpath_average_commands.txt, commands to plot the data from BPATH_AVERAGE.
• bpath_average_data.txt, data from BPATH_AVERAGE.
• bpath_average.png, a plot of the BPATH_AVERAGE data.
• chain_commands.txt, commands to plot the data from CHAIN.
• chain_data.txt, data from CHAIN.
• chain.png, a plot of the CHAIN data.
• em_commands.txt, commands to plot the data from EM.
• em1_data.txt, data from EM.
• em2_data.txt, data from EM.
• em.png, a plot of the EM data.
• emstrong_commands.txt, commands to plot the data from EMSTRONG.
• emstrong_data.txt, data from EMSTRONG.
• emstrong.png, a plot of the EMSTRONG data.
• emweak0_commands.txt, commands to plot the data from EMWEAK with the standard EM method.
• emweak0_data.txt, data from EMWEAK with the standard EM method.
• emweak0.png, a plot of the data from EMWEAK with the standard EM method.
• emweak1_commands.txt, commands to plot the data from EMWEAK with the weak EM method.
• emweak1_data.txt, data from EMWEAK with the weak EM method.
• emweak1.png, a plot of the data from EMWEAK with the weak EM method.
• milstrong_commands.txt, commands to plot the MILSTRONG data.
• milstrong_data.txt, data from MILSTRONG.
• milstrong.png, a plot of the strong convergence data from MILSTRONG.
• stab_asymptotic_commands.txt, commands to plot the STAB_ASYMPTOTIC data.
• stab_asymptotic_data1.txt, data from STAB_ASYMPTOTIC.
• stab_asymptotic_data2.txt, data from STAB_ASYMPTOTIC.
• stab_asymptotic_data3.txt, data from STAB_ASYMPTOTIC.
• stab_asymptotic.png, a plot of the asymptotic stability results from STAB_ASYMPTOTIC.
• stab_meansquare_commands.txt, commands to plot the STAB_MEANSQUARE data.
• stab_meansquare_data1.txt, data from STAB_MEANSQUARE.
• stab_meansquare_data2.txt, data from STAB_MEANSQUARE.
• stab_meansquare_data3.txt, data from STAB_MEANSQUARE.
• stab_meansquare.png, a plot of the meansquare stability results from STAB_MEANSQUARE.