sde_test, a MATLAB code which calls sde(), which illustrates the properties of stochastic differential equations (SDE) and some algorithms for handling them.


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

Related Data and Programs:

sde, a MATLAB code which illustrates properties of stochastic ordinary differential equations (SODE's), and common algorithms for their analysis, including the Euler method, the Euler-Maruyama method, and the Milstein method, by Desmond Higham;

Source Code:

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

Last revised on 12 March 2019.