This is machine translation

Translated by Microsoft
Mouseover text to see original. Click the button below to return to the English version of the page.

Note: This page has been translated by MathWorks. Click here to see
To view all translated materials including this page, select Country from the country navigator on the bottom of this page.

Stochastic Differential Equation (SDE) Models

Parametric models, such as Geometric Brownian Motion (GBM) and Heston Volatility

A stochastic differential equation (SDE) is a differential equation where one or more of the terms is a stochastic process, resulting in a solution, which is itself a stochastic process. SDEs are used to model phenomena such as fluctuating stock prices and interest rates. This toolbox provides a collection SDE tools to build and evaluate stochastic models. You can develop models to capture detailed information about unlikely or worst-case scenarios or to obtain approximate solutions to problems that are otherwise intractable or time-consuming to analyze with traditional analytical techniques.