Euler–Maruyama Method

Version 1.0.0 (199 ko) par Emma Gau
Simulate Brownian particle motion by the Euler–Maruyama method
953 téléchargements
Mise à jour 14 nov. 2018

Afficher la licence

Note de l’éditeur : This file was selected as MATLAB Central Pick of the Week

A stochastic differential equation (SDE) aims to relate a stochastic process to its composition of random components and base deterministic function. As the relation process is prolonged over time, solutions arise under an initial condition and boundary conditions. Therefore solutions of stochastic differential equations exist and are unique (see app.). For this simulation, the Euler–Maruyama (EM) method will be used to approximate and simulate standard Brownian particle motion.

Citation pour cette source

Emma Gau (2024). Euler–Maruyama Method (https://www.mathworks.com/matlabcentral/fileexchange/69430-euler-maruyama-method), MATLAB Central File Exchange. Récupéré le .

Compatibilité avec les versions de MATLAB
Créé avec R2018a
Compatible avec toutes les versions
Plateformes compatibles
Windows macOS Linux
Catégories
En savoir plus sur Parallel Computing dans Help Center et MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
Version Publié le Notes de version
1.0.0