STOCHASTIC_RK is a FORTRAN90 library which implements Runge-Kutta integration methods for stochastic differential equations.
The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.
STOCHASTIC_RK is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.
BLACK_SCHOLES, a FORTRAN90 library which implements some simple approaches to the Black-Scholes option valuation theory;
COLORED_NOISE, a FORTRAN90 library which generates samples of noise obeying a 1/f^alpha power law.
FEYNMAN_KAC_2D, a FORTRAN90 program which demonstrates the use of the Feynman-Kac algorithm for solving certain partial differential equations.
ORNSTEIN_UHLENBECK, a FORTRAN90 library which approximates solutions of the Ornstein-Uhlenbeck stochastic differential equation (SDE) using the Euler method and the Euler-Maruyama method.
PCE_LEGENDRE, a MATLAB program which assembles the system matrix associated with a polynomal chaos expansion of a 2D stochastic PDE, using Legendre polynomials;
PCE_ODE_HERMITE, a FORTRAN90 program which sets up a simple scalar ODE for exponential decay with an uncertain decay rate, using a polynomial chaos expansion in terms of Hermite polynomials.
PINK_NOISE, a FORTRAN90 library which computes a "pink noise" signal obeying a 1/f power law.
SDE, a FORTRAN90 library which illustrates the properties of stochastic differential equations, and common algorithms for their analysis, by Desmond Higham;
STOCHASTIC_DIFFUSION, FORTRAN90 functions which implement several versions of a stochastic diffusivity coefficient.
STOCHASTIC_GRADIENT_ND_NOISE, a MATLAB program which solves an optimal control problem involving a functional over a system with stochastic noise.
You can go up one level to the FORTRAN90 source codes.