The code in this repository execute a stochastic integration (Stratonovich) of a linear stochastic differential equation. The example is the Frankignoul and Hasselmann (1976) stochastic forcing model of ocean-atmosphere heat flux interaction. The forcing is Gaussian white noise and the integration scheme is an adaptation of 4th-order Runge Kutta integration. The code shows how white noise temporal forcing can be easily added to any ordinary or partial differential equation that is integrated forward in time.
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View Code? Open in Web Editor NEWNumerical integration (4th order Runge-Kutta) of a Stratonovich stochastic differential equation (SDE).