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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.
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. |