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 8 articles , 1 standard article )
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- Gilsing, Hagen; Shardlow, Tony: SDELab: A package for solving stochastic differential equations in MATLAB (2007)