ornstein_uhlenbeck_test

ornstein_uhlenbeck_test, a MATLAB program which calls ornstein_uhlenbeck() to approximate solutions of the Ornstein-Uhlenbeck stochastic differential equation (SDE) using the Euler method and the Euler-Maruyama method.

Licensing:

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

Related Data and Programs:

ornstein_uhlenbeck, a MATLAB library which approximates solutions of the Ornstein-Uhlenbeck stochastic ordinary differential equation (SODE) using the Euler method and the Euler-Maruyama method.

Source Code:

• ornstein_uhlenbeck_test.m, calls all the tests.
• ornstein_uhlenbeck_test.sh, runs all the tests.
• ornstein_uhlenbeck_test.txt, the output file.

• ornstein_uhlenbeck_euler_test.m, uses the Euler method to approximate a solution.
• ornstein_uhlenbeck_euler_maruyama_test.m, uses the Euler-Maruyama method to approximate a solution.

A number of graphics images are created by the example programs:

• ornstein_uhlenbeck_euler.png, the approximate solution computed by ornstein_uhlenbeck_euler().
• ornstein_uhlenbeck_euler_maruyama.png, the approximate solution computed by ornstein_uhlenbeck_euler_maruyama().