Software for Numerical Analysis of Stochastic Differential Equations
Last Update: March 6, 2004
Department of Mathematics, Southern Illinois University
1245 Lincoln Drive, Carbondale, IL 62901-4408, USA
Professor Dr. rer. nat. Henri Schurz
AVAILABLE SOFTWARE OF PC-EXERCISES (currently, all problems from chapter 1-4):
Complete standard
C Program System referring to the Book Kloeden/Platen/Schurz
(1994) edited by Springer,
Click
Here (c.zip)
or (c.tar)
for
zipped files in c.zip and / or c.tar
referring to our textbook (1994,1997,2003) and the accompanying
diskette of the first and second printings of our textbook (1994,1997),
UNIX-based (REDHAT LINUX), Rewritten and Updated 2003-2004 by Henri Schurz
and Comlan de Souza, supported by Project ORDA "Research on Logistic Equations".
Nearly all C-programs store the resulting data onto ASCii files and
can be plotted by GNUPLOT standard software. The remaining information is
set on users current terminal screen. Some contents of the pascal programs
have been extended by this current C-version. WARNING: Some difficulties in weak
approximations may arise due to your built-in random number generator
and their statistical inexactness (e.g. better variance-reduction
necessary to improve the results to get to theoretically predicted
asymptotic results eventually, see more on effects of Monte-Carlo-errors in
literature, e.g. Ermakov's school).
The compressed files in c.zip and archived files in c.tar contain
all codes of pro*x*x*.c, pro*x*x*.mak, pro*x*x*.plt, pro*x*x*.prt files.
Just compile first with a command as "make -f pro1x1x1.mak", execute by "./pro1x1x1"
(or run), plot by "gnuplot pro1x1x1.plt" and print to eps-files pro1x1x1.eps by
"gnuplot pro1x1x1.prt" to go through the entire system as indicated with
Problem 1.1.1 here.
Files are currently only available based on individual request to Henri Schurz,
hschurz@math.siu.edu in order to protect our copyrights. This is not part of
the original book software, however it refers to those problems / exercises.
Currently chapter 1 - 4 available, chapter 5 under reconstruction. Files are
not totally cleaned up and neither optimized.