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

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