Sim.DiffProc: Simulation of Diffusion Processes

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Provides the functions for simulating and modeling of stochastic differential equations (SDE's). Statistical analysis and 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).

Author
Arsalane Chouaib Guidoum [cre, aut], Kamal Boukhetala [aut]
Date of publication
2016-11-13 10:14:24
Maintainer
Arsalane Chouaib Guidoum <acguidoum@usthb.dz>
License
GPL (>= 2)
Version
3.6

View on CRAN

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

Files in this package

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