sde, a MATLAB code which illustrates the properties of stochastic differential equations and some algorithms for handling them, by Desmond Higham.

The original version of these routines is available at "".


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


sde is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.

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Desmond Higham


  1. Desmond Higham,
    An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations,
    SIAM Review,
    Volume 43, Number 3, September 2001, pages 525-546.

Source Code:

Last revised on 12 March 2019.