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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.
Getting started
Package overview
README.md
Constructs and Analysis of Bridges Stochastic Differential Equations"
Converting Sim.DiffProc Objects to LaTeX"
Monte-Carlo Simulation and Kernel Density Estimation of First passage time"
Monte-Carlo Simulations and Analysis of Stochastic Differential Equations"
Parallel Monte-Carlo and Moment Equations for SDEs"
Parametric Estimation of 1-D Stochastic Differential Equation"
Browse package contents
Package details |
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| Author | Arsalane Chouaib Guidoum [cre, aut], Kamal Boukhetala [aut] |
| Maintainer | Arsalane Chouaib Guidoum <acguidoum@usthb.dz> |
| License | GPL (>= 2) |
| Version | 4.8 |
| URL | https://github.com/acguidoum/Sim.DiffProc |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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