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.

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Additional Project Details

Languages

English

Intended Audience

End Users/Desktop, Science/Research

User Interface

Command-line, Console/Terminal

Programming Language

MATLAB

Registered

2007-02-28