/SDE

Numerical integration (4th order Runge-Kutta) of a Stratonovich stochastic differential equation (SDE).

Primary LanguageMATLAB

A 4th order Runge-Kutta scheme of a stochastic differential equation

The code in this repository execute a stochastic integration (Stratonovich) of a linear stochastic differential equation. The example is the Frankignoul and Hasselmann (1976) stochastic forcing model of ocean-atmosphere heat flux interaction. The forcing is Gaussian white noise and the integration scheme is an adaptation of 4th-order Runge Kutta integration. The code shows how white noise temporal forcing can be easily added to any ordinary or partial differential equation that is integrated forward in time.