shill1729/sdes: Stochastic differential equation solver
Solve stochastic differential equations via Euler-Maruyama, Milstein, and Runge-Kutta2 methods. The EM scheme is implemented for Ito processes, exponential Ito-Levy processes, two-dimensional systems of correlated SDEs, and finally arbitrary systems of independent SDEs or SDEs all driven by the same Brownian motion.
Getting started
Browse package contents
Package details |
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| Author | S. Hill |
| Maintainer | S. Hill <52792611+shill1729@users.noreply.github.com> |
| License | GPL (>= 2) |
| Version | 1.0 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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