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 9 articles , 1 standard article )
Showing results 1 to 9 of 9.
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- Reshniak, V.; Khaliq, A. Q. M.; Voss, D. A.; Zhang, G.: Split-step Milstein methods for multi-channel stiff stochastic differential systems (2015)
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- 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)