SDELab: A package for solving stochastic differential equations in MATLAB

Authors:
Hagen Gilsing;Tony Shardlow
Affiliations:
Institut für Mathematik, Humboldt Universität zu Berlin, Unter den Linden 6, Berlin Mitte 10099, Germany;School of Mathematics, The University of Manchester, M13 9PL, UK
Venue:
Journal of Computational and Applied Mathematics
Year:
2007

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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 Ito and Stratonovich SDEs, including Milstein's method, sophisticated algorithms for iterated stochastic integrals, and flexible plotting facilities.