SDELab: A package for solving stochastic differential equations in MATLAB

DOI10.1016/j.cam.2006.05.037zbMath1116.65005OpenAlexW2129132283MaRDI QIDQ885951

Tony Shardlow, Hagen Gilsing

Publication date: 14 June 2007

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2006.05.037

zbMATH Keywords

softwarenumerical examplesstochastic differential equationsMATLABItô SDEStratonovich SDEsiterated stochastic integralsMilstein's method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Packaged methods for numerical algorithms (65Y15)

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Uses Software

• Matlab
• minpack
• ode23
• ode45
• Ode15s
• ode113
• ode23s
• Ziggurat
• MATLAB ODE suite
• stochastic
• rnorrexp
• NSOIA

Cites Work

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• Continuous Markov processes and stochastic equations
• An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
• On Two-step Schemes for SDEs with Small Noise
• The MATLAB ODE Suite
• The approximation of multiple stochastic integrals
• Approximate Integration of Stochastic Differential Equations
• Random Generation of Stochastic Area Integrals
• Molecular Modeling of Proteins and Mathematical Prediction of Protein Structure
• Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Stochastic differential equations. An introduction with applications.