Stochastic Differential Equations

SDE is a C++ library which illustrates the properties of stochastic differential equations and some algorithms for handling them, making graphics files for processing and display by gnuplot, by Desmond Higham.

The library requires access to the QR_SOLVE library as well.

The original version of these routines is available at "".


The computer code and data files made available on this web page are distributed under the GNU LGPL license.


SDE is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.

Related Data and Programs:

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CORRELATION, a C++ library which contains examples of statistical correlation functions.

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ORNSTEIN_UHLENBECK, a C++ library which approximates solutions of the Ornstein-Uhlenbeck stochastic differential equation (SDE) using the Euler method and the Euler-Maruyama method.

PCE_BURGERS, a C++ program which defines and solves a version of the time-dependent viscous Burgers equation, with uncertain viscosity, using a polynomial chaos expansion in terms of Hermite polynomials, by Gianluca Iaccarino.

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Original MATLAB version by Desmond Higham. C++ version by John Burkardt.


  1. Desmond Higham,
    An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations,
    SIAM Review,
    Volume 43, Number 3, September 2001, pages 525-546.

Source Code:

Examples and Tests:

The calling program creates various data and command files which can be used with GNUPLOT to create images.

List of Routines:

You can go up one level to the C++ source codes.

Last revised on 28 September 2012.