sde_test


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

Licensing:

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.