[Q] SDEs (Stochastic Differential Equations) in Mathematica
- To: mathgroup at smc.vnet.net
- Subject: [mg39068] [Q] SDEs (Stochastic Differential Equations) in Mathematica
- From: Janusz Kawczak <jkawczak at math.uncc.edu>
- Date: Sun, 26 Jan 2003 05:24:33 -0500 (EST)
- Sender: owner-wri-mathgroup at wolfram.com
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? There is a small text by the same authors plus the third that includes some coding in Pascal, see "Numerical Solution of Sde Through Computer Experiments". I am aware of the work done by Sasha Cyganowski, but for another system. Thank you, Janusz.