SDELab: A package for solving stochastic differential equations in MATLAB |
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| Authors: | Hagen Gilsing Tony Shardlow |
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| Institution: | 1. Institut für Mathematik, Humboldt Universität zu Berlin, Unter den Linden 6, Berlin Mitte 10099, Germany;2. School of Mathematics, The University of Manchester, M13 9PL, UK |
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| 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. |
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| Keywords: | 65C30 |
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