SDELab: A package for solving stochastic differential equations in MATLAB

摘要

We introduce SDELab, a package for solving stochastic differential equations (SDEs) within MATLAB. SDELab features explicit and implicit integrators for a general class of Ito and Stratonovich SDEs, including Milstein's method, sophisticated algorithms for iterated stochastic integrals, and flexible plotting facilities. (c) 2006 Elsevier B.V. All rights reserved.