SDE, a MATLAB library 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 "http://www.maths.strath.ac.uk/~aas96106/algfiles.html".
The computer code and data files made available on this web page are distributed under the GNU LGPL license.
SDE is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.
BLACK_SCHOLES, a MATLAB library which implements some simple approaches to the Black-Scholes option valuation theory, by Desmond Higham.
BROWNIAN_MOTION_SIMULATION, a MATLAB program which simulates Brownian motion in an M-dimensional region.
CNOISE, a MATLAB library which generates samples of noise obeying a 1/f^alpha power law, by Miroslav Stoyanov.
COLORED_NOISE, a MATLAB library which generates samples of noise obeying a 1/f^alpha power law.
CORRELATION, a MATLAB library which contains examples of statistical correlation functions.
ORNSTEIN_UHLENBECK, a MATLAB library which approximates solutions of the Ornstein-Uhlenbeck stochastic differential equation (SDE) using the Euler method and the Euler-Maruyama method.
PCE_BURGERS, a MATLAB program which defines and solves a version of the time-dependent viscous Burgers equation, with uncertain viscosity, using a polynomial chaos expansion in terms of Hermite polynomials, by Gianluca Iaccarino.
PCE_LEGENDRE, a MATLAB program which assembles the system matrix associated with a polynomal chaos expansion of a 2D stochastic PDE, using Legendre polynomials;
PCE_ODE_HERMITE, a MATLAB program which sets up a simple scalar ODE for exponential decay with an uncertain decay rate, using a polynomial chaos expansion in terms of Hermite polynomials.
PINK_NOISE, a MATLAB library which computes a "pink noise" signal obeying a 1/f power law.
STOCHASTIC_DIFFUSION, MATLAB functions which implement several versions of a stochastic diffusivity coefficient.
STOCHASTIC_GRADIENT_ND_NOISE, a MATLAB program which solves an optimization problem involving a functional over a system with stochastic noise.
STOCHASTIC_RK, a MATLAB library which applies a Runge Kutta (RK) scheme to a stochastic differential equation.
Desmond Higham