CRAN/E | Sim.DiffProc

Sim.DiffProc

Simulation of Diffusion Processes

Installation

About

It provides users with a wide range of tools to simulate, estimate, analyze, and visualize the dynamics of stochastic differential systems in both forms Ito and Stratonovich. Statistical analysis with parallel Monte Carlo and moment equations methods of SDEs doi:10.18637/jss.v096.i02. 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.

Citation Sim.DiffProc citation info
github.com/acguidoum/Sim.DiffProc
Bug report File report

Key Metrics

Version 4.9
R ≥ 4.0.0
Published 2024-03-06 51 days ago
Needs compilation? yes
License GPL-2
License GPL-3
CRAN checks Sim.DiffProc results

Downloads

Yesterday 64 -4%
Last 7 days 273 +6%
Last 30 days 1.165 -29%
Last 90 days 3.579 +27%
Last 365 days 12.550 +21%

Maintainer

Maintainer

Arsalane Chouaib Guidoum

acguidoum@univ-tam.dz

Authors

Arsalane Chouaib Guidoum

cre / aut

Kamal Boukhetala

aut

Material

README
NEWS
Reference manual
Package source

In Views

DifferentialEquations
Finance
HighPerformanceComputing
Psychometrics
TimeSeries

Vignettes

Constructs and Analysis of Bridges Stochastic Differential Equations
Parametric Estimation of 1-D Stochastic Differential Equation
Monte-Carlo Simulation and Kernel Density Estimation of First passage time
Parallel Monte-Carlo and Moment Equations for SDEs
Converting Sim.DiffProc Objects to LaTeX
Monte-Carlo Simulation and Analysis of Stochastic Differential Equations

Classification MSC

37H10
37M10
60H05
60H10
60H35
60J60
65C05
68N15
68Q10

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

Sim.DiffProc archive

Depends

R ≥ 4.0.0

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

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