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 non-parametric Monte Carlo likelihood methods were chosen for their ability to treat both one-dimensional and multivariate SDE systems, although the quality of the inferential results can't match those obtained using more advanced techniques. Nevertheless the toolbox capabilities to simulate numerical solutions of SDE systems are still valid and can serve as a useful starting point to those willing to simulate stochastic dynamical models easily.

Project Samples

Project Activity

See All Activity >

License

GNU General Public License version 3.0 (GPLv3)

Follow SDE Toolbox

SDE Toolbox Web Site

Other Useful Business Software
MongoDB Atlas runs apps anywhere Icon
MongoDB Atlas runs apps anywhere

Deploy in 115+ regions with the modern database for every enterprise.

MongoDB Atlas gives you the freedom to build and run modern applications anywhere—across AWS, Azure, and Google Cloud. With global availability in over 115 regions, Atlas lets you deploy close to your users, meet compliance needs, and scale with confidence across any geography.
Start Free

Additional Project Details

Languages

English

Intended Audience

Science/Research, End Users/Desktop

User Interface

Console/Terminal, Command-line

Programming Language

MATLAB

Related Categories

MATLAB Simulation Software, MATLAB Statistics Software

Registered

2007-02-28