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 > > > > >