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
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
Journal title :
Journal of Computational and Applied Mathematics
