sde


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".

Licensing:

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

Languages:

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

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sde_test

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Author:

Desmond Higham

Reference:

  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.