stochastic_rk


stochastic_rk, a MATLAB code which implements Runge-Kutta integration methods for stochastic differential equations.

Licensing:

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

Languages:

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

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stochastic_rk_test

Reference:

  1. Jeremy Kasdin,
    Runge-Kutta algorithm for the numerical integration of stochastic differential equations,
    Journal of Guidance, Control, and Dynamics,
    Volume 18, Number 1, January-February 1995, pages 114-120.
  2. Jeremy Kasdin,
    Discrete Simulation of Colored Noise and Stochastic Processes and 1/f^a Power Law Noise Generation,
    Proceedings of the IEEE,
    Volume 83, Number 5, 1995, pages 802-827.

Source Code:


Last revised on 21 March 2019.