Search
Code Directory
 ASP
 ASP.NET
 C/C++
 CFML
 CGI/PERL
 Delphi
 Development
 Flash
 HTML
 Java
 JavaScript
 Pascal
 PHP
 Python
 SQL
 Tools
 Visual Basic & VB.NET
 XML
New Code
Rapid PHP 2018 15.5
IBDAC 6.4
Online Course Booking Script 1.3.3
Database Workbench Pro 5.6.4
Job Portal Script 1.3.2
The C# PDF Library 5.2
PostgreSQL Data Access Components 6.0
Virtual Data Access Components 11.0
HTMLPad 2018 15.5
WeBuilder 2018 15.5
SentiMask SDK Trial 2.0.0
Track Order For Magento 2 1.0.0
Calendar 365 For Dynamics CRM 4.0
Scimbo 1.2
Odoo Furnito Theme 1.0
Top Code
Accordion FX 1.0
XP Man 1.0
Drag and Drop Jquery Script 1.0
Top Rated
VisualNEO Web 2018.12.15
Azizi search engine script PHP 4.1.10
Paste phpSoftPro 1.4.1
Extreme Injector 3.7
Deals and Discounts Website Script 1.0.2
ADO.NET Provider for ExactTarget 1.0
Solid File System OS edition 5.1
Classified Ad Lister 1.0
Aglowsoft SQL Query Tools 8.2
Invoice Manager by PHPJabbers 3.0
ICPennyBid Penny Auction Script 4.0
PHP Review Script 1.0
ATN Resume Finder 2.0
ATN Site Builder 3.0
Availability Booking Calendar PHP 1.0
Exact Numerical Simulation of the Ornstein-Uhlenbeck Process 1.0
File ID: 79060






Exact Numerical Simulation of the Ornstein-Uhlenbeck Process 1.0
Download Exact Numerical Simulation of the Ornstein-Uhlenbeck Process 1.0http://www.mathworks.comReport Error Link
License: Freeware
File Size: 10.0 KB
Downloads: 27
Submit Rating:
Exact Numerical Simulation of the Ornstein-Uhlenbeck Process 1.0 Description
Description: This code implements and plots the exact numerical solution of the Ornstein-Uhlenbeck process and its time integral. The numerical method here used was published by D.T. Gillespie in 1996 in the journal Physical Review E.

The probability density function and its plot for the Ornstein-Uhlenbeck process is also included.

License: Freeware

Related: Physical, journal, gillespie, Review, Probability, included, Function, density, Published, method, numerical, Exact, plots, Solution, ornsteinuhlenbeck, integral, Process, implements

O/S:BSD, Linux, Solaris, Mac OS X

File Size: 10.0 KB

Downloads: 27



More Similar Code

This code determines the mean first passage time (MFPT) of an Ornstein-Uhlenbeck process from analytical solutions obtained from M.U. Thomas (1975), S. Sato (1977), and S. Sato & M. Ricciardi (1988) (all articles published in J. Appl. Prob.).

Note that this code yields a dimensionless MFPT (i.e. MFPT multiplied by the reciprocal of the relaxation time) and only applies to cases where either the initial position or absorbing...



This Recipe is a variant of recipe 576934: Numerical Inversion of the Laplace Transform using the Talbot method by Fernando Damian Nieuwveldt adapted to high precision mpmath



process from the Book of Smith, Corripio - Automatic Process Control

Content:
+ m-file linearization of nonlinear model
+ m-file definition of the nonlinear model
+ simulink models for the simulation of the process



AQUILA is a MATLAB toolbox for the one- or two dimensional simulation of the electronic properties of GaAs/AlGaAs semiconductor nanostructures. The program solves for a user-defined structure the one- or twodimensional Schroedinger- and...



The numerical inversion of the Laplace transform is a long standing problem due its implicit ill-posedness. These functions implement one of the more well known numerical inversion algorithms, the Weeks method. Particularly new here is the use of...



Simulation of the trajectory of a particle in electric and magnetic field (electromagnetic field). The trajectory is calculated by computationally solving differential equations. The direction and magnitude of magnetic and electric field can be...



An interactive MATLAB-based demo simulation of the electrophysiological behavior of a biological neuron is presented and documented. The differential equations which describe the temporal evolution of the membrane voltage in a biophysical model...



This is a conference management software that provides support for the entire life-cycle of the conference review process, starting with the submissions of papers and ending in the receipt of the camera-ready versions of the accepted papers (and...



In Recipe 576954 presented a numerical method for pricing Asian options using mpmath and some code from Recipe 576938: Numerical Inversion of the Laplace Transform with mpmath. The code in Recipe 576954 seems to have problems with the precision...



This is a simulation of the Stargate Atlantis Dial Home Device. The DHD is release edition only for now and therefore the source code is not included.

Lets get onto the fun stuff; what it can do:
- Easy to configure via XML files -...

User Review for Exact Numerical Simulation of the Ornstein-Uhlenbeck Process
- required fields
     

Please enter text on the image