Brownian Motion and Iterated Integrals on Mathematica
Mathematica packages for generating fractional Brownian processes and approximate solutions of SDE with iterated integrals.
Fractional Orstein-Uhlenbeck process
A simple example of the application of rough path theory to fractional Brownian process.
Granger Causality for large networks
We extended Granger causality for building large causal networks from time series.
Matlab script for parsing Agilent output (microarrays)
A simple matlab script that parses Agilent textual output.