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Introduction

In Professor Bialek's lectures we have been encountering stochastic ordinary differential equations, that is, ordinary differential equations in the presence of noise. In this tutorial we'll see how Matlab can be used to simulate such equations with "white" or "colored" noise using an Euler method. Much of this discussion is based on the excellent article An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations by D.J. Higham, SIAM Review 43:525-546, 2001.



Jeffrey M. Moehlis 2001-12-06