Code Directory
 Visual Basic & VB.NET
New Code
Uber for Massage 2.0
Job Board Software 1.1
RentALL - Airbnb Clone | Built with ReactJS 2.6
VB.Net PDF 2020.6.0
Flowrigami 1.0.0
SentiVeillance SDK Trial 7.3.2020.03.02
Entity Developer 6.8
dbExpress driver for SQLite 4.2
dbForge SQL Complete 6.5
Advanced Amazon Clone App 2.0
Appjetty Delivery Date Manager 1.0.0
The C# Barcode Library 2020.5.0
Chowtro - Online Restaurant Food Ordering Software 1.0
Alvas.Audio.Core 2019.0
Sainsburys Script 1.3.2
Top Code
PostgreSQL Data Access Components 4.4
Availability Booking Calendar PHP 1.0
ATN Site Builder 3.0
dbForge SQL Complete 4.8
Azizi search engine script PHP 4.1.10
dbExpress Driver for SQLite 3.9
Virtual Data Access Components 11.2.4
ATN Resume Finder 2.0
The C# Barcode Library 2020.5.0
PHP Review Script 1.0
Classified Ad Lister 1.0
Extreme Injector 3.7
Single Leg MLM 1.2.1
phpSoftPro Social Bookmarking 1.43
phpEnter 5.1.
Top Rated
phpEnter 5.1.
Single Leg MLM 1.2.1
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
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

+ 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