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.
Keywords for this software
References in zbMATH (referenced in 7 articles , 1 standard article )
Showing results 1 to 7 of 7.
- Ableidinger, M.; Buckwar, E.: Splitting integrators for the stochastic Landau-Lifshitz equation (2016)
- Gay-Balmaz, François; Putkaradze, Vakhtang: On noisy extensions of nonholonomic constraints (2016)
- Reshniak, V.; Khaliq, A.Q.M.; Voss, D.A.; Zhang, G.: Split-step Milstein methods for multi-channel stiff stochastic differential systems (2015)
- Ghaffari, Valiollah; Karimi, Hamid Reza; Noroozi, Navid; Naghavi, S.Vahid: Stabilization of a class of stochastic nonlinear systems (2013)
- Buckwar, Evelyn; Sickenberger, Thorsten: A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems (2012)
- Alzubaidi, Hasan; Gilsing, Hagen; Shardlow, Tony: Numerical simulations of SDEs and SPDEs from neural systems using SDELab (2010)
- Gilsing, Hagen; Shardlow, Tony: SDELab: A package for solving stochastic differential equations in MATLAB (2007)