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 WRITTEN BY MYSELF OR UNDER MY LEADERSHIP:
1.
Pascal Program System from the Book Kloeden/Platen/Schurz
(1994) edited by Springer,
Click
Here (GZIP:pascal.zip)
(TAR:pascal.tar)
for
zipped files in pascal.zip and/or pascal.tar
containing the original files on the diskette
accompanying the first and second printings of our textbook (1994,1997),
DOS-based (WINDOWS), Written 1991
2.
OSCIL
- A C-Compiled Program for Linear and Nonlinear Oscillations (Data Need To
be Plotted by GNUPLOT, Self-Explanatory: Just enter "OSCIL ?", Prints Data
Files for Single Trajectories and Mean Values, Interactive
Parameter-Dependent Program), UNIX-based, Written 1997
3.
C Program System for the Book Kloeden/Platen/Schurz
(1994) edited by Springer,
Click
Here (GZIP:c.zip)
(TAR:c.tar)
for
zipped files in c.zip and/or c.tar
containing c-files extending problems / exercises of
the first, second and third printings of our textbook (1994,1997,2003),
UNIX-based (LINUX), Written together with my project assistant
Mr. Comlan de Souza 2003-2004 (Currently chapters 1 - 4 are available by
request to Henri Schurz, hschurz@math.siu.edu, work on chapter 5 in
progress)
SOFTWARE WRITTEN BY COLLEAGUES:
4.
PRESTO
- A Commented FORTRAN-code-generating Program For Several
Purposes, REDUCE- and MAPLE-based, Written by Prof. Dr. D. Talay,
Statistics and Computing Journal 4 (4), 1994
5.
DYNAMICS & CONTROL
- An Interactive FORTRAN-Based Compiled Program For Several
Purposes, WINDOWS-based, Written by Members of Russian Academy of Sciences
under the leadership of Prof. Dr. S. Artemiev, Novosibirsk, 1993
FOR LINKS TO THE OTHER FILES CONTACT THE CORRESPONDING AUTHORS!
Ps.: There are tons of other people who wrote programs or fragments
of programming codes for stochastic numerics. This list is neither
exhaustive nor puts any priority on the usage of its codes!