Sim.DiffProc: Simulation of Diffusion Processes
Version 3.7

Provides the functions for simulating and modeling of Ito and Stratonovich stochastic differential equations (SDE's). Statistical analysis and Monte-Carlo simulation of the solution of SDE's enabled many searchers in different domains to use these equations to modeling practical problems, in financial and actuarial modeling and other areas of application. For example, modeling and simulate of dispersion in shallow water using the attractive center (Boukhetala K, 1996).

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AuthorArsalane Chouaib Guidoum [cre, aut], Kamal Boukhetala [aut]
Date of publication2017-03-25 16:24:48 UTC
MaintainerArsalane Chouaib Guidoum <acguidoum@usthb.dz>
LicenseGPL (>= 2)
Version3.7
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("Sim.DiffProc")

Man pages

ABM: Brownian motion, Brownian bridge, geometric Brownian motion,...
bconfint: Kurtosis, Skewness, Moment and Confidence Bands
bridgesde1d: Simulation of 1-Dim Diffusion Bridge
bridgesde2d: Simulation of 2-Dim Diffusion Bridge
bridgesde3d: Simulation of 3-Dim Diffusion Bridge
fitsde: Maximum Pseudo-Likelihood Estimation of 1-Dim SDE
HWV: Hull-White/Vasicek, Ornstein-Uhlenbeck process
Irates: Monthly Interest Rates
plot2d: Plotting for Class SDE
rfptsde1d: Density and random generation for first passage time in 1-Dim...
rfptsde2d: Density and random generation for first passage time in 2-Dim...
rfptsde3d: Density and random generation for first passage time in 3-Dim...
rsde1d: Density and random generation for conditional law of 1-Dim...
rsde2d: Density and random generation for conditional law of 2-Dim...
rsde3d: Density and random generation for conditional law of 3-Dim...
Sim.DiffProc-package: Simulation of Diffusion Processes
snssde1d: Simulation of 1-Dim Stochastic Differential Equation
snssde2d: Simulation of 2-Dim Stochastic Differential Equation
snssde3d: Simulation of 3-Dim Stochastic Differential Equation
st.int: Stochastic Integrals

Functions

ABM Man page Source code
ABM.default Man page Source code
AIC.fitsde Man page Source code
BB Man page Source code
BB.default Man page Source code
BIC.fitsde Man page Source code
BM Man page Source code
BM.default Man page Source code
Char2exp Source code
Euler1D Source code
Euler2D Source code
Euler3D Source code
Exp2char Source code
GBM Man page Source code
GBM.default Man page Source code
HWV Man page Source code
HWV.default Man page Source code
Heun1D Source code
Heun2D Source code
Heun3D Source code
Irates Man page
Milstein1D Source code
Milstein2D Source code
Milstein3D Source code
OU Man page Source code
OU.default Man page Source code
PredCorr1D Source code
PredCorr2D Source code
PredCorr3D Source code
RK1D Source code
RK2D Source code
RK3D Source code
SMilstein1D Source code
SMilstein2D Source code
SMilstein3D Source code
STS1D Source code
STS2D Source code
STS3D Source code
Sim.DiffProc Man page
Sim.DiffProc-package Man page
add.bconfint Source code
add.bconfint.default Source code
add.bconfint.snssde1d Source code
add.bconfint.st.int Source code
add.mean Source code
bconfint Man page Source code
bconfint.bridgesde1d Man page Source code
bconfint.bridgesde2d Man page Source code
bconfint.bridgesde3d Man page Source code
bconfint.default Man page Source code
bconfint.snssde1d Man page Source code
bconfint.snssde2d Man page Source code
bconfint.snssde3d Man page Source code
bconfint.st.int Man page Source code
bridgesde1d Man page Source code
bridgesde1d.default Man page Source code
bridgesde2d Man page Source code
bridgesde2d.default Man page Source code
bridgesde3d Man page Source code
bridgesde3d.default Man page Source code
coef.fitsde Man page Source code
confint.fitsde Man page Source code
dcEuler Source code
dcKessler Source code
dcOzaki Source code
dcShoji Source code
dfptsde1d Man page Source code
dfptsde1d.default Man page Source code
dfptsde2d Man page Source code
dfptsde2d.default Man page Source code
dfptsde3d Man page Source code
dfptsde3d.default Man page Source code
dsde1d Man page Source code
dsde1d.default Man page Source code
dsde2d Man page Source code
dsde2d.default Man page Source code
dsde3d Man page Source code
dsde3d.default Man page Source code
fitsde Man page Source code
fitsde.default Man page Source code
kurtosis Man page Source code
kurtosis.bridgesde1d Man page Source code
kurtosis.bridgesde2d Man page Source code
kurtosis.bridgesde3d Man page Source code
kurtosis.default Man page Source code
kurtosis.snssde1d Man page Source code
kurtosis.snssde2d Man page Source code
kurtosis.snssde3d Man page Source code
kurtosis.st.int Man page Source code
lines.bridgesde1d Man page Source code
lines.bridgesde2d Man page Source code
lines.bridgesde3d Man page Source code
lines.snssde1d Man page Source code
lines.snssde2d Man page Source code
lines.snssde3d Man page Source code
lines.st.int Man page Source code
lines2d Man page Source code
lines2d.bridgesde2d Man page Source code
lines2d.default Man page Source code
lines2d.snssde2d Man page Source code
logLik.fitsde Man page Source code
mean.bridgesde1d Man page Source code
mean.bridgesde2d Man page Source code
mean.bridgesde3d Man page Source code
mean.snssde1d Man page Source code
mean.snssde2d Man page Source code
mean.snssde3d Man page Source code
mean.st.int Man page Source code
median.bridgesde1d Man page Source code
median.bridgesde2d Man page Source code
median.bridgesde3d Man page Source code
median.snssde1d Man page Source code
median.snssde2d Man page Source code
median.snssde3d Man page Source code
median.st.int Man page Source code
moment Man page Source code
moment.bridgesde1d Man page Source code
moment.bridgesde2d Man page Source code
moment.bridgesde3d Man page Source code
moment.default Man page Source code
moment.snssde1d Man page Source code
moment.snssde2d Man page Source code
moment.snssde3d Man page Source code
moment.st.int Man page Source code
onAttach Source code
onLoad Source code
onUnload Source code
plot.bridgesde1d Man page Source code
plot.bridgesde2d Man page Source code Source code
plot.bridgesde3d Man page Source code Source code
plot.dfptsde1d Man page Source code Source code
plot.dfptsde2d Man page Source code Source code
plot.dfptsde3d Man page Source code Source code
plot.dsde1d Man page Source code Source code
plot.dsde2d Man page Source code Source code
plot.dsde3d Man page Source code Source code
plot.snssde1d Man page Source code
plot.snssde2d Man page Source code Source code
plot.snssde3d Man page Source code Source code
plot.st.int Man page Source code
plot2d Man page Source code
plot2d.bridgesde2d Man page Source code Source code
plot2d.default Man page Source code
plot2d.snssde2d Man page Source code Source code
plot3D Man page Source code
plot3D.bridgesde3d Man page Source code
plot3D.default Man page Source code
plot3D.snssde3d Man page Source code
plot3DD Source code
plotks.3d Source code
points.bridgesde1d Man page Source code
points.bridgesde2d Man page Source code
points.bridgesde3d Man page Source code
points.snssde1d Man page Source code
points.snssde2d Man page Source code
points.snssde3d Man page Source code
points.st.int Man page Source code
points2d Man page Source code
points2d.bridgesde2d Man page Source code
points2d.default Man page Source code
points2d.snssde2d Man page Source code
print.bridgesde1d Man page Source code
print.bridgesde2d Man page Source code
print.bridgesde3d Man page Source code
print.dfptsde1d Man page Source code
print.dfptsde2d Man page Source code
print.dfptsde3d Man page Source code
print.dsde1d Man page Source code
print.dsde2d Man page Source code
print.dsde3d Man page Source code
print.fitsde Man page Source code
print.snssde1d Man page Source code
print.snssde2d Man page Source code
print.snssde3d Man page Source code
print.st.int Man page Source code
quantile.bridgesde1d Man page Source code
quantile.bridgesde2d Man page Source code
quantile.bridgesde3d Man page Source code
quantile.snssde1d Man page Source code
quantile.snssde2d Man page Source code
quantile.snssde3d Man page Source code
quantile.st.int Man page Source code
rMnorm Source code
rfptsde1d Man page Source code
rfptsde1d.default Man page Source code
rfptsde2d Man page Source code
rfptsde2d.default Man page Source code
rfptsde3d Man page Source code
rfptsde3d.default Man page Source code
rsde1d Man page Source code
rsde1d.default Man page Source code
rsde2d Man page Source code
rsde2d.default Man page Source code
rsde3d Man page Source code
rsde3d.default Man page Source code
skewness Man page Source code
skewness.bridgesde1d Man page Source code
skewness.bridgesde2d Man page Source code
skewness.bridgesde3d Man page Source code
skewness.default Man page Source code
skewness.snssde1d Man page Source code
skewness.snssde2d Man page Source code
skewness.snssde3d Man page Source code
skewness.st.int Man page Source code
snssde1d Man page Source code
snssde1d.default Man page Source code
snssde2d Man page Source code
snssde2d.default Man page Source code
snssde3d Man page Source code
snssde3d.default Man page Source code
st.int Man page Source code
st.int.default Man page Source code
summary.fitsde Man page Source code
summary.snssde1d Man page Source code
summary.snssde2d Man page Source code
summary.snssde3d Man page Source code
summary.st.int Man page Source code
time.bridgesde1d Man page Source code
time.bridgesde2d Man page Source code
time.bridgesde3d Man page Source code
time.snssde1d Man page Source code
time.snssde2d Man page Source code
time.snssde3d Man page Source code
time.st.int Man page Source code
vcov.fitsde Man page Source code

Files

inst
inst/CITATION
inst/doc
inst/doc/fptsde.Rmd
inst/doc/Sim.DiffProc.R
inst/doc/sde.R
inst/doc/fitsde.html
inst/doc/fptsde.R
inst/doc/sde.Rmd
inst/doc/Sim.DiffProc.Rmd
inst/doc/fitsde.R
inst/doc/fptsde.html
inst/doc/sde.html
inst/doc/Sim.DiffProc.html
inst/doc/fitsde.Rmd
tests
tests/bridgesde.R
tests/sde.R
tests/fptsde.R
tests/rsde.R
tests/fitsde.R
src
src/locale.h
src/Sim.DiffProc.c
src/init.c
src/Sim.DiffProc.h
NAMESPACE
demo
demo/Sim.DiffProc.R
demo/00Index
NEWS
data
data/Irates.rda
R
R/bridgesde.R
R/utils.R
R/OU.R
R/PredCorr.R
R/BB.R
R/ABM.R
R/st.int.R
R/dsde.r
R/rftpsde.R
R/GBM.R
R/rsde.R
R/Euler.R
R/STS.R
R/HWV.R
R/fitsde.R
R/zzz.r
R/RK.R
R/BM.R
R/snssde.R
R/SMilstein.R
R/Milstein.R
R/Heun.R
vignettes
vignettes/fptsde.Rmd
vignettes/sde.Rmd
vignettes/Sim.DiffProc.Rmd
vignettes/fitsde.Rmd
MD5
build
build/vignette.rds
DESCRIPTION
man
man/rsde3d.Rd
man/bconfint.Rd
man/Irates.Rd
man/ABM.Rd
man/bridgesde3d.Rd
man/rfptsde2d.Rd
man/bridgesde2d.Rd
man/snssde1d.Rd
man/HWV.Rd
man/snssde3d.Rd
man/rsde1d.Rd
man/snssde2d.Rd
man/rsde2d.Rd
man/st.int.Rd
man/fitsde.Rd
man/Sim.DiffProc-package.Rd
man/plot2d.Rd
man/rfptsde1d.Rd
man/rfptsde3d.Rd
man/bridgesde1d.Rd
Sim.DiffProc documentation built on May 20, 2017, 12:58 a.m.