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.
|Number of pages||17|
|Journal||Journal of Computational and Applied Mathematics|
|Early online date||24 Jul 2006|
|Publication status||Published - 15 Aug 2007|