Using the C language to approximate non-linear stochastic systems

Abstract

Recognizing the growing popularity and demand for scientific or numerical libraries in the C computer language, and the shortage of systematic methods for the increasingly important non-linear stochastic systems, this article attempts to present a method to approximate the solution of systems governed by non-linear stochastic differential equations and the corresponding algorithm and computer code in the C language. It was found that the C language offers promising possibilities for the stochastic systems modeler. It is hoped the use of C for the analysis of these type of problems will be encouraged.