A package for symbolic and numerical computations on scalar and multivariate systems of stochastic differential equations. It provides users with a wide range of tools to simulate, estimate, analyze, and visualize the dynamics of these systems in both forms It<U+00F4> and Stratonovich. Statistical analysis with parallel Monte-Carlo and moment equations methods 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, e.g., modeling and simulate of first passage time problem in shallow water using the attractive center (Boukhetala K, 1996) ISBN:1-56252-342-2.
R version >= 3.0.0
This package and its documentation are usable under the terms of the "GNU General Public License", a copy of which is distributed with the package.
| Package: | Sim.DiffProc |
| Type: | Package |
| Version: | 4.6 |
| Date: | 2020-05-05 |
| License: | GPL (>= 2) |
| Depends: | R (>= 3.0.0) |
| Imports: | Deriv (>= 3.8.0), MASS (>= 7.3-30), parallel |
| Suggests: | deSolve (>= 1.11), knitr (>= 1.10), rgl (>= 0.93.991), rmarkdown (>= 0.8), scatterplot3d (>= 0.3-36), sm (>= 2.2-5.3) |
| Classification/MSC: | 37H10, 37M10, 60H05, 60H10, 60H35, 60J60, 65C05, 68N15, 68Q10 |
There are main types of functions in this package:
Simulation of solution to 1,2 and 3-dim stochastic differential equations of It<U+00F4> and Stratonovich types, with different methods.
Simulation of solution to 1,2 and 3-dim diffusion bridge of It<U+00F4> and Stratonovich types, with different methods.
Simulation the first-passage-time (f.p.t) in 1,2 and 3-dim sde of It<U+00F4> and Stratonovich types.
Calculate symbolic ODE's of moment equations (means and variances-covariance) for 1,2 and 3-dim SDE's.
Monte-Carlo replicates of a statistic applied to 1,2 and 3-dim SDE's at any time t.
Computing the basic statistics (mean, var, median, ...) of the processes at any time t using the Monte Carlo method.
Random number generators (RN's) to generate 1,2 and 3-dim sde of It<U+00F4> and Stratonovich types.
Approximate the transition density 1,2 and 3-dim of the processes at any time t.
Approximate the density of first-passage-time in 1,2 and 3-dim SDE's.
Computing the It<U+00F4> and Stratonovich stochastic integrals.
Estimate drift and diffusion parameters by the method of maximum pseudo-likelihood of the one-dim stochastic differential equation.
Converting Sim.DiffProc objects to LaTeX.
Displaying an object inheriting from class "sde" (1,2 and 3 dim).
For more examples see demo(Sim.DiffProc), and for an overview of this package, see browseVignettes('Sim.DiffProc') for more informations.
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sde, yumia, DiffusionRgqd, DiffusionRjgqd, DiffusionRimp, QPot, diffeqr, fptdApprox.