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SIMULATION AND ESTIMATION OF STOCHASTIC DIFFERENTIAL EQUATIONS WITH MATLAB

SDE TOOLBOX - SIMULATION AND ESTIMATION OF STOCHASTIC DIFFERENTIAL EQUATIONS WITH MATLAB

Available at: http://sdetoolbox.sourceforge.net

Copyright (C) 2007, Umberto Picchini
[e-mail]
http://www.biomatematica.it/pages/picchini.html


HISTORY OF CHANGES
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v. 1.4.1 (build 5th Dec. 2007)     - Faster implementations for the parameter estimation procedures:
                                           i. the parametric estimation procedure (SDE_PSML.m) speed has been boosted for the case of multi-dimensional 
                                             SDEs, now it is 14x-27x times faster, depending on the machine; negligible improvement for the non-parametric
                                             estimation procedure (SDE_NPSML.m);
                                           ii. no improvement for the estimation of one-dimensional SDEs;
                                           iii. error checking in SDE_split_sdeinput.m has been removed to improve the speed;
                                   - error checking added for the stepsize control in SDE_NPSML_milstein/euler.m and SDE_NPSML_euler.m;
                                   - SDE_PSML_milstein.m has been removed: in fact the parametric SML procedure, as presented in Pedersen (1995) and Brandt-Santa-Clara (2002),
                                     is defined only with respect to the Euler-Maruyama (EM) approximation; thus an error is produced if attempting to estimate the parameters using
                                     the SDE_PSML procedure with an approximation other than EM. As a consequence of that, since the EM algorithm is not defined for Stratonovich SDEs,
                                     the only parameter estimation method available for such SDEs is the non-parametric one (SDE_NPSML.m); of course the syntax to call SDE_PSML and
                                     SDE_PSML_euler is changed;
                                    - the User's Guide has been updated to reflect the changes above;
                                    - fixed misprints here and there in the functions' help; 
                                     
v. 1.4.0 (build 28th Nov. 2007))   - NO changes in the codes;
                                   - Errors in the User's Guide "Variance reduction" section have been fixed; 
                                   
v. 1.4.0 (build 24th Nov. 2007)    - The use of global variables is avoided (except for the demo files): this makes the present version much more capable of interfacing with other 
                                     Matlab programs, but the structure of the 'sdefiles' is different. Thus sdefiles created under previous versions will not work with v. 1.4.0 
                                     (however, it is straightforward to adapt them, just look at the new sdefiles in the "models_library" folder); as a consequence the Toolbox can be used
                                     without necessarily running SDE_library_run.m, and can be integrated into user defined Matlab programs. See the user's guide manual.pdf;
                                   - the 'antithetic variates' variance reduction method has been implemented for the Wiener increments generation;
                                   - the CIR (Cox-Ingersoll-Ross) model has been added to the models library;
                                   - a new datafile ('sampledata3.dat') has been added;
                                   - approximated parameters 95% intervals can now be calculated;
                                   - case-sensitive issues have been fixed;
                                   - the functions' input check has been improved; 
                                   - the help sections in the functions have been checked and fixed; 
                                   - documentation (manual.pdf) enlarged and improved;
                                   
v. 1.3.0 (build 10th Sept. 2007)   Major revision: the most relevant addition is the inclusion of two parameter estimation tools; the users can now load and analyze data stored 
                                   in ASCII tab-delimited files; previous versions' users should read the documentation (manual.pdf) before using v. 1.3.0. However user defined
                                   sdefiles should work with this new version.
                                   
v. 1.2.1 (build 21th June 2007):   Major bug fixed: the bug was in the sdefiles' code: it only affected multi-dimensional SDE (not one-dimensional): thus
                                   simulations/results obtained with SDE_Toolbox 1.2 (and previous versions) are correct if a one-dimensional SDE has been
                                   considered, otherwise results may be wrong. In version 1.2.1 all the sdefile were rewritten.
                                   
v. 1.2 (build 12th March 2007):    'repmat' invocations substituted with a faster code; added SDE process statistics (SDE_stats.m, SDE_skewness.m, SDE_kurtosis.m, SDE_moment.m);
                                   the code in SDE_main.m performing graphics has been moved in SDE_graph.m, which also produces histograms;
                                   SDE_demo.m routine rewritten according to the modification above; SDE_demo_interactive_settings.m added to the archive; 
                                   SDE_demo2.m and demo2_sdefile.m removed; lot of additions in manual.pdf;
                                   
v. 1.1 (build 1 March 2007):       Major revision; code vectorized over the simulations; sdefile's created with previous versions may not work
                                   under v. 1.1; SDE_euler_demo.m, SDE_milstein_demo.m, SDE_interactive_settings.m and SDE_split_sdeinput.m added; 
                                   manual.pdf updated;
                                   
v. 1.0 (build 18th February 2007): Credits added in manual.pdf, SDE_euler.m and SDE_milstein.m; no changes in the code;

v. 1.0 (build 15th February 2007): MLINT warnings partially fixed (minor changes to the code); 
                                   demos names changed to "SDE_demo.m" and "SDE_demo2.m"; 
                                   minor changes to manual.pdf;
                                   
v. 1.0 (build 13th February 2007): First release