SDELab: a package for solving stochastic differential equations in MATLAB

Hagen Gilsing, Tony Shardlow

Research output: Contribution to journalArticle

24 Citations (Scopus)
39 Downloads (Pure)

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.
Original languageEnglish
Pages (from-to)1002-1018
Number of pages17
JournalJournal of Computational and Applied Mathematics
Volume205
Issue number2
Early online date24 Jul 2006
DOIs
Publication statusPublished - 15 Aug 2007

Cite this