Computer simulation of stochastic models with SDE-Solver software package

DOI10.1007/3-540-44860-8_37MaRDI QIDQ4434755zbMATH OpenFDO

Authors Aleksander Janicki, Adam Izydorczyk, Przemyslaw Gradalski

Publication date 26 November 2003

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL http://link.springer.de/link/service/series/0558/bibs/2657/26570361.htm

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Packaged methods for numerical algorithms (65Y15)

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Cited in

(9)

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• A collection of Java class libraries for stochastic modeling and simulation
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• Construction of quasi optimal portfolio for stochastic models of financial market
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• Computer simulations of multiplicative stochastic differential equations
• SDELab: A package for solving stochastic differential equations in MATLAB

Describes a project that uses

Uses Software

• SDE-Solver

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