In Professor Bialek's lectures we have been encountering stochastic
ordinary differential equations, that is, ordinary differential equations
in the presence of noise. In this tutorial we'll see how Matlab can be
used to simulate such equations with "white" or "colored" noise using
an Euler method. Much of this discussion is based on the excellent
article
An Algorithmic Introduction to Numerical Simulation of
Stochastic Differential Equations
by D.J. Higham, *SIAM Review* 43:525-546, 2001.

Jeffrey M. Moehlis 2001-12-06