Sunday, May 3, 2015

Milstein method

In mathematics, the Milstein method is a technique for the approximate numerical solution of a stochastic differential equation. It is named after Grigori N. Milstein who first published the method in 1974.[1][2]

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Wikipedia contributors, "Milstein method," Wikipedia, The Free Encyclopedia, http://en.wikipedia.org/w/index.php?title=Milstein_method&oldid=660551728(accessed May 3, 2015).

Saturday, May 2, 2015

Stochastic Differential Equations Toolbox for simulations and estimation of parameters

SDE Toolbox: simulation and estimation of stochastic differential equations with Matlab is a free package for working with stochastic differential equation numerically. It includes the simple method of Euler-Maruyama and the Milstein method. There are some examples, but you can define your own. It is outdated, but can be a nice starting point on the study of stochastic differential equations.