Matlab Toolbox for the Numerical Solution of Stochastic Differential Equations
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Updated
Sep 30, 2020 - MATLAB
Matlab Toolbox for the Numerical Solution of Stochastic Differential Equations
We present a user-friendly open-source Matlab package for stochastic data analysis that enables to perform a standard analysis of given turbulent data and extracts the stochastic equations describing the scale-dependent cascade process in turbulent flows through Fokker-Planck equations and concepts of non-equilibrium stochastic thermodynamics.
KPC-Toolbox: MATLAB toolbox to fit Markovian Arrival Processes
codes from theorems in the field of stochastic processes
A collection of numerical implementations for the simulation of well-known stochastic processes on MATLAB.
In the second semester of 2021 - 2022, I took the course "Stochastic Process", which included programming exercises and projects in MATLAB language in the above files and you can see.
Probability Models, Detection, and ML + MMSE estimation
Usefull models simulating stochastic processes in different times scales with or without reproduction of long-term percistence (Hurst-Kolmogorov behaviour). Also a simple tool for determening the Hurst coefficient is provided. All code is in the form of Matlab functions.
Using Finite Element and Finite Difference Methods to Price European Options
My solution of a simple Reinforcement learning problem
MATLAB code to generate Riemann-Liouville fractional and multifractional Brownian motion paths with a given Hurst function.
Stochastic System Identification Toolkit (SSIT) to model, analyze and design single-cell experiments
A non-Gaussian distribution is generated from a Gaussian-distributed white noise
Matlab functions to test the stationarity of a random process
Stochastic simulations using Octave for normal multivariate and queueing theory problems.
Code for "Numerical methods for the 2nd moment of stochastic ODEs" (https://arxiv.org/abs/1611.02164)
repo for the paper https://onlinelibrary.wiley.com/doi/full/10.1111/tra.12639
Probabilistic generation of hazard-consistent suites of fully non-stationary seismic records
A queueing package for GNU Octave
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