ornstein_uhlenbeck_test


ornstein_uhlenbeck_test, a MATLAB code which calls ornstein_uhlenbeck(), which approximates a solution of the Ornstein-Uhlenbeck stochastic differential equation (SDE) using the Euler method and the Euler-Maruyama method.

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 MATLAB code which approximates solutions of the Ornstein-Uhlenbeck stochastic ordinary differential equation (SODE) using the Euler method and the Euler-Maruyama method.

Source Code:

A number of graphics images are created by the example programs:


Last revised on 12 February 2019.