Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4642495 | Journal of Computational and Applied Mathematics | 2007 | 17 Pages |
Abstract
We introduce SDELab, a package for solving stochastic differential equations (SDEs) within MATLAB. SDELab features explicit and implicit integrators for a general class of Itô and Stratonovich SDEs, including Milstein's method, sophisticated algorithms for iterated stochastic integrals, and flexible plotting facilities.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Hagen Gilsing, Tony Shardlow,