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 "https://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 code which implements some simple approaches to the Black-Scholes option valuation theory, by Desmond Higham.
brownian_motion_simulation, a MATLAB code which simulates Brownian motion in an M-dimensional region.
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colored_noise, a MATLAB code which generates samples of noise obeying a 1/f^alpha power law.
correlation, a MATLAB code which contains examples of statistical correlation functions.
ornstein_uhlenbeck, a MATLAB code which approximates solutions of the Ornstein-Uhlenbeck stochastic differential equation (SDE) using the Euler method and the Euler-Maruyama method.
pce_ode_hermite, a MATLAB code 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 code 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_rk, a MATLAB code which applies a Runge Kutta (RK) scheme to a stochastic differential equation.