randomwalks.zip contains versions of some programs converted to work with SciLab. The conversion was done by Nate Iverson. You can download SciLab for free at www.scilab.org. Click on downloads, and for Windows, on the installer for binary version.
wiener_forward.m sets up Kolmogorov's
forward equation for the Wiener process.
langevin_forward.m sets
up Kolmogorov's forward equation for Langevin's equation dX(t) = -X(t)dt
+ sigma * dB(t) with X(0)=0.
sine_forward.m sets up Kolmogorov's
forward equation for the SDE dX(t) = sin(X(t))dt + sigma * dB(t) with X(0)=0.
wiener_backward.m sets up Kolmogorov's
backward equation for the Wiener process.
sine_backward.m sets up Kolmogorov's
backward equation for the SDE dX(t) = sin(X(t))dt + sigma * dB(t) with
X(0)=0.