RosenbrockSDE

The resolution of the systems of differential equations

dY(t)/dt=AY(t)+B, t∈[t0,tf],
Y(t0)=Y0.

using Rosenbrock method.

Inputs : A : size matrix (n,n).
B : size matrix (n,s).

Y0 : size matrix (n,s).
t0,tf : temps.

Output: Y(1,:) : solution Y1,1(t) of the systems of differential equation.

Author : LAKHLIFA SADEK.

E-mail: lakhlifasdek@gmail.com; sadek.l@ucd.ac.ma

Last modification : 10/08/2019.

From the test, this method was found to be faster than the normal method known in Matlab (ode23s) in terms of time to calculate the approximate solution.