Sim.DiffProc-package: Simulation of Diffusion Processes.
Description
Simulation of diffusion processes and numerical solution of stochastic differential equations. Analysis of discrete-time approximations for
stochastic differential equations (SDE) driven by Wiener processes,in
financial and actuarial modeling and other areas of application for example modelling and simulation of dispersion in shallow water using the attractive center (K.BOUKHETALA,1996).
Simulation and statistical analysis of the first passage time (FPT)
and M-samples of the random variable X(v) given by a simulated diffusion process.
Franck Jedrzejewski. Modeles aleatoires et physique probabiliste, Springer, 2009.
K.Boukhetala, Estimation of the first passage time distribution for a simulated diffusion process, Maghreb Math.Rev, Vol.7, No 1, Jun 1998, pp. 1-25.
K.Boukhetala, Simulation study of a dispersion about an attractive centre. In proceedings of 11th Symposium Computational Statistics, edited by R.Dutter and W.Grossman, Wien , Austria, 1994, pp. 128-130.
K.Boukhetala,Modelling and simulation of a dispersion pollutant with attractive centre, Edited by Computational Mechanics Publications, Southampton ,U.K and Computational Mechanics Inc, Boston, USA, pp. 245-252.
K.Boukhetala, Kernel density of the exit time in a simulated diffusion, les Annales Maghrebines De L ingenieur, Vol , 12, N Hors Serie. Novembre 1998, Tome II, pp 587-589.
T. Rolski, H. Schmidli, V. Schmidt and J. Teugels, Stochastic Processes for Insurance and Finance,John Wiley & Sons, 1998.
Fima C Klebaner. Introduction to stochastic calculus with application (Second Edition), Imperial College Press (ICP), 2005.
LAWRENCE C.EVANS. An introduction to stochastic differential equations (Version 1.2), Department of Mathematics (UC BERKELEY).
Hui-Hsiung Kuo. Introduction to stochastic integration, Springer, 2006.
E.Allen. Modeling with Ito stochastic differential equations, Springer, 2007.
Peter E.Kloeden, Eckhard Platen, Numerical solution of stochastic differential equations, Springer, 1995.
Douglas Henderson, Peter Plaschko, Stochastic differential equations in science and engineering,World Scientific, 2006.
A.Greiner, W.Strittmatter,and J.Honerkamp, Numerical Integration of Stochastic Differential Equations, Journal of Statistical Physics, Vol. 51, Nos. 1/2, 1988.