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MathGroup Archive 2003

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Re: [Q] SDEs (Stochastic Differential Equations) in Mathematica

  • To: mathgroup at smc.vnet.net
  • Subject: [mg39365] Re: [Q] SDEs (Stochastic Differential Equations) in Mathematica
  • From: Paul Abbott <paul at physics.uwa.edu.au>
  • Date: Thu, 13 Feb 2003 04:51:43 -0500 (EST)
  • Organization: The University of Western Australia
  • References: <b10e70$mqt$1@smc.vnet.net>
  • Sender: owner-wri-mathgroup at wolfram.com

In article <b10e70$mqt$1 at smc.vnet.net>,
 Janusz Kawczak <jkawczak at math.uncc.edu> wrote:

> Group Members,
> 
> does anyone know whether there exists an implementation of the
> numerical methods for the SDE like in the book by Kloeden & Platen
> "Numerical Solution of Stochastic Differential Equations" in
> Mathematica?

See http://math.ucsd.edu/~williams/courses/math286.html and 
http://www.warwick.ac.uk/statsdept/staff/WSK/ca.html

Cheers,
Paul




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