Rdtq: Density Tracking by Quadrature
Version 0.1

Implementation of density tracking by quadrature (DTQ) algorithms for stochastic differential equations (SDEs). DTQ algorithms numerically compute the density function of the solution of an SDE with user-specified drift and diffusion functions. The calculation does not require generation of sample paths, but instead proceeds in a deterministic fashion by repeatedly applying quadrature to the Chapman-Kolmogorov equation associated with a discrete-time approximation of the SDE. The DTQ algorithm is provably convergent. For several practical problems of interest, we have found the DTQ algorithm to be fast, accurate, and easy to use.

AuthorHarish S. Bhat, R. W. M. A. Madushani, Shagun Rawat
Date of publication2016-11-22 09:06:51
MaintainerHarish S. Bhat <hbhat@ucmerced.edu>
LicenseGPL (>= 2)
Version0.1
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("Rdtq")

Getting started

README.md

Popular man pages

rdtq: Density Tracking by Quadrature
studydtqconv: Study DTQ Convergence
See all...

All man pages Function index File listing

Man pages

rdtq: Density Tracking by Quadrature
studydtqconv: Study DTQ Convergence

Functions

dtqsparse Source code
ntegrandmat Source code
rdtq Man page Source code
studydtqconv Man page Source code

Files

tests
tests/example1.R
tests/example2.R
src
src/Rdtq_types.h
src/RcppExports.cpp
src/Rdtq.cpp
NAMESPACE
R
R/RcppExports.R
README.md
MD5
DESCRIPTION
man
man/studydtqconv.Rd
man/rdtq.Rd
Rdtq documentation built on May 19, 2017, 7:53 a.m.

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