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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.