Sim.DiffProc: Simulation of Diffusion Processes

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).

Version: 3.3
Depends: R (≥ 2.15.1)
Imports: scatterplot3d, rgl
Published: 2016-09-22
Author: Arsalane Chouaib Guidoum [cre, aut], Kamal Boukhetala [aut]
Maintainer: Arsalane Chouaib Guidoum <acguidoum at usthb.dz>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Classification/MSC: 37H10, 37M10, 60H05, 60H10, 60H35, 60J60, 68N15
Citation: Sim.DiffProc citation info
Materials: NEWS
In views: TimeSeries
CRAN checks: Sim.DiffProc results

Downloads:

Reference manual: Sim.DiffProc.pdf
Vignettes: Estimation of Stochastic Differential Equations
Introduction to Sim.DiffProc
Itô and Stratonovich Stochastic Calculus
Package source: Sim.DiffProc_3.3.tar.gz
Windows binaries: r-devel: Sim.DiffProc_3.3.zip, r-release: Sim.DiffProc_3.3.zip, r-oldrel: Sim.DiffProc_3.3.zip
OS X Mavericks binaries: r-release: Sim.DiffProc_3.3.tgz, r-oldrel: Sim.DiffProc_3.3.tgz
Old sources: Sim.DiffProc archive

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