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SDE Integration

The following is a program to integrate a set of stochastic differential equations (SDEs) by the Euler method. Parameters are set in a Matlab script, which calls a compiled Fortran 90 subroutine to perform the heavy lifting. Another Matlab script performs statistical calculations and plotting routines.

The files provided here are

sde_main.m	Matlab script to call integration routine.
sde_integ.f90	Fortran routine that is called from sde_main.m
sde_stat.m	Matlab script to perform statistics and plotting routines.

Before you compile:

The file sde_integ.f90 is meant to be compiled from a Matlab prompt. Matlab uses your native compiler (or one that you select) to create a shared library. The Fortran subroutine can be called as if it were a Matlab function. Check that your options are set properly by compiling the following:

>> mex -v timestwo.f

>> x = 5.6;

>> y = timestwo(x);

The 'v' option prints the compiler command that Matlab calls to compile the file. In my Matlab installation, compiler and linker options are taken from a file 'mexopts.sh' which is located in my personal Matlab configuration directory ($HOME/.matlab/R13/).

To compile and run:

1. At a Matlab prompt type

>> mex sde_integ.f90

2. Check that parameters are correct. They are described in sde_main.m. Then to run the script:

>> sde_main

This script will output two -MAT files. The first contains all of the parameters associated with the run. The second contains either a time series or a set of statistics.