Euler-Maruyama function for Solving Stochastic Differential Equations using Numerical Integration of Ito integrals
This a MATLAB function for solving stochastic differential equations using Euler-Maruyama integration. Initially written as part of structural reliability class of STG Ragukhanth, IIT Madras. Later reviced and uploaded to GitHub on 1st October 2017.
by
Anis Mohammed Vengasseri
[email protected]
https://github.com/anismhd
Description of Function
Function inputs are,
- time - a vector stores time
- X0 - A vector that stores initial condition
- A - Stochastic Differential Coefficients, see equation (1)
- G - Stochastic Differential Coefficients, see equation (1)
- figure_on - >0 will display input and output figures
stochastic differential equation of the form $$ dX = A(X_t) dt + G(X_t) dW $$
Example 1:
Solution of SDoF subjected to white noise.
Second moment of displacement are,
