Stochastic Differential Equation Software

We retail software for numerical solution of initial value problems for Itô type stochastic ordinary differential equations (SODEs) with strong solutions. Stochastic differential equations (SDEs) arise in:

     
    Black-Scholes theory
    financial engineering volatility models (e.g. Cox-Ingersol-Ross, Log Ornstein-Uhlenbeck, Nelson, Hull-White models)
    computational neuroscience (e.g. Hodgkin-Huxley, FitzHugh-Nagumo models)
    computational cell biology (e.g. mechanics of proteins)
    physics (e.g. Markovian and non-Markovian quantum state diffusion, Langevin equations)
    chemistry (e.g. stochastic Hartree-Fock, single molecule fluorescence)
    engineering (e.g. simulations of fatigue crack damage)
    seismology, hydrology
    social science (e.g. epidemic models, catastrophe theory)

Our integrator, which we call ANISE (Algorithm for Numerical Integration of Stochastic Equations), is based on a deterministic Runge-Kutta type algorithm. Accurate solutions are obtained by error estimation using embedded lower order methods and variable step-sizes. ANISE has been extensively tested on many difficult problems from physics, mathematics and finance. ANISE typically performs tens to hundreds of times faster than other integrators.

ANISE is available as an object file for the C, C++ and Fortran programming languages. The solver has been implemented with dynamically allocated memory to make the call sequence as simple as possible. We offer a renewable one month free trial period.

Click here for more information on the ANISE stochastic differential equation (SDE) solver and its call sequence.

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A Brief Introduction to Stochastic Differential Equations

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* Innovative Stochastic Algorithms *

 
 

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