% dx(t) = -x(t)*dt/(2*tau) + dw(r)/sqrt(tau) & x(0) = x0 & 0 < t < T % analytic solution: x(t) = x0*exp(-t/(2*tau)) + sqrt(1-exp(-t/tau))*w(t), % The finite ...
% This code solve 1D ordinary differential equation (ODE) using the Euler's method [1]. % 1D ODE: dx/dt = 1 + x/t, x(1) = 1 and t = [1,6]; ...
Abstract: Stochastic differential equations can always simulate the scientific problem in practical truthfully. They have been widely used in Physics, Chemistry, Cybernetics, Finance, Neural Networks, ...
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