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Simulation of Diffusion Processes
Kamal Boukhetala, Arsalane Guidoum
GPL (>= 2)
The package Sim.DiffProc is an object created in the R language for simulation and modeling of stochastic differential equations (SDEs), and statistical analysis of diffusion processes solution of SDEs. This package contains many objects (code/function), for example a numerical methods to find the solutions to SDEs (one, two and three dimensional), which simulates a flows trajectories, with good accuracy. Many theoretical problems on the SDEs have become the object of practical research, as statistical analysis and simulation of solution of SDEs, enabled many searchers in different domains to use these equations to modeling and to analyse practical problems, in financial and actuarial modeling and other areas of application, for example modelling and simulate of dispersion in shallow water using the attractive center (Boukhetala K, 1996),and the stochastic calculus are applied to the random oscillators problem in physics. We hope that the package presented here and the updated survey on the subject might be of help for practitioners, postgraduate and PhD students, and researchers in the field who might want to implement new methods and ideas using R as a statistical environment.
Package Version Released
Sim.DiffProc 2.5 2 years 38 weeks ago
Sim.DiffProc 2.2 3 years 2 weeks ago
Sim.DiffProc 2.1 3 years 15 weeks ago
Sim.DiffProc 2.0 4 years 2 weeks ago
Sim.DiffProc 1.0 4 years 8 weeks ago
Your rating: None Overall: 4.6 (1703 votes)
Your rating: None Documentation: 4.6 (1703 votes)