SDELab swMATH ID: 837 Software Authors: Gilsing, Hagen; Shardlow, Tony Description: 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. Homepage: http://www.sciencedirect.com/science/article/pii/S0377042706004195 Dependencies: Matlab Keywords: stochastic differential equations; MATLAB; software; It\^o SDE; numerical examples; Stratonovich SDEs; Milstein’s method; iterated stochastic integrals Related Software: Matlab; SDE-MATH; Python; stochastic; RODAS; YUIMA; Bridge.jl; SDE-Solver; torchsde; JiTCODE; GitHub; Julia; ItoProcess; LevyArea.jl; SDEModels.jl; sdeint; JiTCSDE; JiTCDDE; Sim.DiffProc; StochasticDiffEq.jl Cited in: 15 Documents Standard Articles 1 Publication describing the Software, including 1 Publication in zbMATH Year SDELab: A package for solving stochastic differential equations in MATLAB. Zbl 1116.65005Gilsing, Hagen; Shardlow, Tony 2007 all top 5 Cited by 26 Authors 3 Kuznetsov, Dmitriĭ Feliksovich 3 Shardlow, Tony 2 Buckwar, Evelyn 2 Gilsing, Hagen 2 Putkaradze, Vakhtang 1 Ableidinger, Markus 1 Alzubaidi, Hasan 1 Cornalba, Federico 1 Fischer, Julian 1 Gay-Balmaz, François 1 Ghaffari, Valiollah 1 Holm, Darryl Dallas 1 Karimi, Hamid Reza 1 Kastner, Felix 1 Khaliq, Abdul Q. M. 1 Kloeden, Peter Eris 1 Kuznetsov, Mikhail Dmitrievich 1 Mardones, H. A. 1 Mora, Carlos M. 1 Naghavi, S. Vahid 1 Noroozi, Navid 1 Reshniak, Viktor 1 Rößler, Andreas 1 Sickenberger, Thorsten 1 Voss, David A. 1 Zhang, Guannan all top 5 Cited in 10 Serials 3 Differentsial’nye Uravneniya i Protsessy Upravleniya 2 Applied Numerical Mathematics 2 SIAM Journal on Scientific Computing 1 Archive for Rational Mechanics and Analysis 1 Journal of Computational and Applied Mathematics 1 Numerical Algorithms 1 Journal of Nonlinear Science 1 Mathematical Problems in Engineering 1 Methodology and Computing in Applied Probability 1 Proceedings of the Royal Society of London. A. Mathematical, Physical and Engineering Sciences all top 5 Cited in 8 Fields 10 Probability theory and stochastic processes (60-XX) 10 Numerical analysis (65-XX) 3 Ordinary differential equations (34-XX) 2 Partial differential equations (35-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Systems theory; control (93-XX) 1 Mechanics of particles and systems (70-XX) 1 Biology and other natural sciences (92-XX) Citations by Year