Numerical solution of SDE through computer experiments: UPDATE

I have a book sitting on my desk, Kloeden Platen Schurtz, which has been sitting on my desk since it came out in 1994, waiting to edify me.

My New Year’s Resolution is to read this book.  I will share this experience with you, anecdotally, by publishing little Python programs which reproduce the examples in the text, which are all written in some painful variant of Turbo Pascal for the IBM PC of another age.

UPDATE: I’ve moved everything I’ve done so far into an IPython notebook.   A pretty version of this notebook is here.  I haven’t covered all of KPS yet, so as I do, I will update this post with a fresh copy and move this post to the front of the queue.  I’m also deleting the old posts in favor of this notebook.


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