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 10 articles , 1 standard article )
Showing results 1 to 10 of 10.
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- Ghaffari, Valiollah; Karimi, Hamid Reza; Noroozi, Navid; Naghavi, S. Vahid: Stabilization of a class of stochastic nonlinear systems (2013)
- Buckwar, Evelyn; Sickenberger, Thorsten: A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems (2012)
- 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)