A MATLAB package to simulate sample paths of the solution of a Itô or Stratonovich stochastic differential equation (SDE), compute statistics and estimate the parameters from data.
A note of caution: SDE Toolbox is no more developed but it's still downloadable. Its inferential capabilities can be considered surpassed (at best). Actually the parameter estimation methods were already far from the state-of-art when the project began in 2007 (!). The considered implemented parametric and...