Modified from the MATLAB versions in Higham “An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations”, SIAM Review, Vol. 43, No. 3, 2001. http://www.caam.rice.edu/~cox/stoch/dhigham.pdf
Details about the algorithms can be found in the paper.
| Filename | Description |
|---|---|
| bpath2.py | Simulation of a Brownian path |
| bpath3.py | Function along a Brownain path |
| stint.py | Approximate stochastic integrals |
| em.py | Euler-Maruyama method on linear SDE |
| emstrong.py | Test strong convergence of Euler-Maruyama |
| emweak.py | Test weak convergence of Euler-Maruyama |
| milstrong.py | Test strong convergence of Milstein method |
| stab.py | Mean-square and asymptotic stability test for E-M |
| chain.py | Test stochastic chain rule |
| milstein-3d.py | Milstein’s method applied to a 3D SDE (not part of SIAM paper) |