[Date Index] [Thread Index] [Author Index]

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

• To: mathgroup at smc.vnet.net
• Subject: [mg39412] Re: [mg39365] Re: [Q] SDEs (Stochastic Differential Equations) in Mathematica
• From: Andrzej Kozlowski <akoz at mimuw.edu.pl>
• Date: Fri, 14 Feb 2003 03:22:36 -0500 (EST)
• Sender: owner-wri-mathgroup at wolfram.com

Wilfrid Kendall's package is very nice but is a *symbolic* 
implementation of the Ito calculus and does not deal with numerical 
solutions. I do not know of a Mathematic a based implementation of any 
numerical approaches  although I know of some specialized programs. 
Actually, this sort of thing is not difficult to implement and I am 
even considering doing it myself, if I can find enough free time (which 
at the moment looks unlikely).

Andrzej Kozlowski

On Thursday, February 13, 2003, at 06:51 PM, Paul Abbott wrote:

> 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
>
>
>
>
>