Sim.DiffProc
Simulation of Diffusion Processes
It provides users with a wide range of tools to simulate, estimate, analyze, and visualize the dynamics of stochastic differential systems in both forms Ito and Stratonovich. Statistical analysis with parallel Monte Carlo and moment equations methods of SDEs doi:10.18637/jss.v096.i02. Enabled many searchers in different domains to use these equations to modeling practical problems in financial and actuarial modeling and other areas of application, e.g., modeling and simulate of first passage time problem in shallow water using the attractive center (Boukhetala K, 1996) ISBN:1-56252-342-2.
- Version4.9
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- Sim.DiffProc citation info
- Last release03/06/2024
Documentation
- VignetteConstructs and Analysis of Bridges Stochastic Differential Equations
- VignetteParametric Estimation of 1-D Stochastic Differential Equation
- VignetteMonte-Carlo Simulation and Kernel Density Estimation of First passage time
- VignetteParallel Monte-Carlo and Moment Equations for SDEs
- VignetteConverting Sim.DiffProc Objects to LaTeX
- VignetteMonte-Carlo Simulation and Analysis of Stochastic Differential Equations
- MaterialREADME
- MaterialNEWS
- In ViewsDifferentialEquations
- In ViewsFinance
- In ViewsHighPerformanceComputing
- In ViewsPsychometrics
- In ViewsTimeSeries
Team
Arsalane Chouaib Guidoum
Kamal Boukhetala
Show author detailsRolesAuthor
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- Imports2 packages
- Suggests6 packages
- Reverse Imports1 package
- Reverse Suggests2 packages