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SDELab
OAI: oai:purehost.bath.ac.uk:publications/0b4b3a46-e490-4363-9930-38a5b5e73061 • DOI: https://doi.org/10.1016/j.cam.2006.05.037
Abstract
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.