SDELab: a package for solving stochastic differential equations in MATLAB

Hagen Gilsing; Tony Shardlow

doi:10.1016/j.cam.2006.05.037

SDELab: a package for solving stochastic differential equations in MATLAB

Hagen Gilsing
, Tony Shardlow

Research output: Contribution to journal › Article › peer-review

42 Citations (SciVal)

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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 language	English
Pages (from-to)	1002-1018
Number of pages	17
Journal	Journal of Computational and Applied Mathematics
Volume	205
Issue number	2
Early online date	24 Jul 2006
DOIs	https://doi.org/10.1016/j.cam.2006.05.037
Publication status	Published - 15 Aug 2007

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title = "SDELab: a package for solving stochastic differential equations in MATLAB",

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 It{\^o} and Stratonovich SDEs, including Milstein's method, sophisticated algorithms for iterated stochastic integrals, and flexible plotting facilities.",

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AU - Shardlow, Tony

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N2 - 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.

AB - 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.

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DO - 10.1016/j.cam.2006.05.037

M3 - Article

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SP - 1002

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JO - Journal of Computational and Applied Mathematics

JF - Journal of Computational and Applied Mathematics

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SDELab: a package for solving stochastic differential equations in MATLAB

Abstract

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