Title of article
SDELab: A package for solving stochastic differential equations in MATLAB
Author/Authors
Victor Gilsing، نويسنده , , Hagen and Shardlow، نويسنده , , Tony، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
17
From page
1002
To page
1018
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 Milsteinʹs method, sophisticated algorithms for iterated stochastic integrals, and flexible plotting facilities.
Keywords
MATLAB , Computations , Numerical solution , stochastic differential equations , Software
Journal title
Journal of Computational and Applied Mathematics
Serial Year
2007
Journal title
Journal of Computational and Applied Mathematics
Record number
1553938
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