SDELab

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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References in zbMATH (referenced in 14 articles , 1 standard article )

Showing results 1 to 14 of 14.
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  1. Kuznetsov, Dmitriy Feliksovich: Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs (2021)
  2. Kuznetsov, Mikhail Dmitrievich; Kuznetsov, Dmitriy Feliksovich: SDE-MATH: a software package for the implementation of strong high-order numerical methods for Ito SDEs with multidimensional non-commutative noise based on multiple Fourier-Legendre series (2021)
  3. Kuznetsov, Dmitriy Feliksovich: Strong approximation of iterated Ito and Stratonovich stochastic integrals based on generalized multiple Fourier series. Application to numerical solution of Ito SDEs and semilinear SPDEs (2020)
  4. Mardones, H. A.; Mora, C. M.: First-order weak balanced schemes for stochastic differential equations (2020)
  5. Holm, D. D.; Putkaradze, V.: Dynamics of non-holonomic systems with stochastic transport (2018)
  6. Oliver Laslett, Jonathon Waters, Hans Fangohr, Ondrej Hovorka: Magpy: A C++ accelerated Python package for simulating magnetic nanoparticle stochastic dynamics (2018) arXiv
  7. Kloeden, Peter; Shardlow, Tony: Gauss-quadrature method for one-dimensional mean-field SDEs (2017)
  8. Ableidinger, M.; Buckwar, E.: Splitting integrators for the stochastic Landau-Lifshitz equation (2016)
  9. Gay-Balmaz, François; Putkaradze, Vakhtang: On noisy extensions of nonholonomic constraints (2016)
  10. Reshniak, V.; Khaliq, A. Q. M.; Voss, D. A.; Zhang, G.: Split-step Milstein methods for multi-channel stiff stochastic differential systems (2015)
  11. Ghaffari, Valiollah; Karimi, Hamid Reza; Noroozi, Navid; Naghavi, S. Vahid: Stabilization of a class of stochastic nonlinear systems (2013)
  12. Buckwar, Evelyn; Sickenberger, Thorsten: A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems (2012)
  13. Alzubaidi, Hasan; Gilsing, Hagen; Shardlow, Tony: Numerical simulations of SDEs and SPDEs from neural systems using SDELab (2010)
  14. Gilsing, Hagen; Shardlow, Tony: SDELab: A package for solving stochastic differential equations in MATLAB (2007)