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

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

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>,
>  Janusz Kawczak <jkawczak at> 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 and
> Cheers,
> Paul

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