Uffe-H-Thygesen/SDEtools: Utilities for Stochastic Differential Equations
Analysis of stochastic differential equations: Simulation of sample paths of Brownian motion, numerical stochastic integration, numerical solution of stochastic differential equations, and numerical analysis of the Kolmogorov equations in one and two spatial dimensions, including applications to filtering (recursive state estimation) and optimal control.
Getting started
Browse package contents
Package details |
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| Author | Uffe Hogsbro Thygesen |
| Maintainer | Uffe Hogsbro Thygesen <uhth@dtu.dk> |
| License | GPL |
| Version | 0.1 |
| URL | https://github.com/Uffe-H-Thygesen/SDEtools https://uffe-h-thygesen.github.io/SDEtools/ |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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