Package: Sim.DiffProc 4.9

Sim.DiffProc: Simulation of Diffusion Processes

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.

Authors:Arsalane Chouaib Guidoum [cre, aut], Kamal Boukhetala [aut]

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Sim.DiffProc.pdf |Sim.DiffProc.html✨
Sim.DiffProc/json (API)
NEWS

# Install 'Sim.DiffProc' in R:
install.packages('Sim.DiffProc', repos = c('https://acguidoum.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/acguidoum/sim.diffproc/issues

Datasets:
  • Irates - Monthly Interest Rates

On CRAN:

dynamic-systemmoment-equationsmonte-carlo-simulationparallel-computingstochastic-calculusstochastic-differential-equationtransition-density

6.98 score 13 stars 1 packages 81 scripts 898 downloads 267 exports 2 dependencies

Last updated 9 months agofrom:618c4cad18. Checks:OK: 1 NOTE: 8. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 01 2024
R-4.5-win-x86_64NOTENov 01 2024
R-4.5-linux-x86_64NOTENov 01 2024
R-4.4-win-x86_64NOTENov 01 2024
R-4.4-mac-x86_64NOTENov 01 2024
R-4.4-mac-aarch64NOTENov 01 2024
R-4.3-win-x86_64NOTENov 01 2024
R-4.3-mac-x86_64NOTENov 01 2024
R-4.3-mac-aarch64NOTENov 01 2024

Exports:ABMABM.defaultAIC.fitsdeBBBB.defaultbconfintbconfint.bridgesde1dbconfint.bridgesde2dbconfint.bridgesde3dbconfint.defaultbconfint.snssde1dbconfint.snssde2dbconfint.snssde3dbconfint.st.intBIC.fitsdeBMBM.defaultbridgesde1dbridgesde1d.defaultbridgesde2dbridgesde2d.defaultbridgesde3dbridgesde3d.defaultcoef.fitsdeconfint.fitsdecvcv.bridgesde1dcv.bridgesde2dcv.bridgesde3dcv.defaultcv.fptsde1dcv.fptsde2dcv.fptsde3dcv.snssde1dcv.snssde2dcv.snssde3dcv.st.intdfptsde1ddfptsde1d.defaultdfptsde2ddfptsde2d.defaultdfptsde3ddfptsde3d.defaultdsde1ddsde1d.defaultdsde2ddsde2d.defaultdsde3ddsde3d.defaultfitsdefitsde.defaultfptsde1dfptsde1d.defaultfptsde2dfptsde2d.defaultfptsde3dfptsde3d.defaultGBMGBM.defaultHWVHWV.defaultkurtosiskurtosis.bridgesde1dkurtosis.bridgesde2dkurtosis.bridgesde3dkurtosis.defaultkurtosis.fptsde1dkurtosis.fptsde2dkurtosis.fptsde3dkurtosis.snssde1dkurtosis.snssde2dkurtosis.snssde3dkurtosis.st.intlines.bridgesde1dlines.bridgesde2dlines.bridgesde3dlines.snssde1dlines.snssde2dlines.snssde3dlines.st.intlines2dlines2d.bridgesde2dlines2d.defaultlines2d.snssde2dlogLik.fitsdemax.bridgesde1dmax.bridgesde2dmax.bridgesde3dmax.fptsde1dmax.fptsde2dmax.fptsde3dmax.snssde1dmax.snssde2dmax.snssde3dmax.st.intMCM.sdeMCM.sde.defaultmean.bridgesde1dmean.bridgesde2dmean.bridgesde3dmean.fptsde1dmean.fptsde2dmean.fptsde3dmean.snssde1dmean.snssde2dmean.snssde3dmean.st.intMedianMedian.bridgesde1dMedian.bridgesde2dMedian.bridgesde3dMedian.defaultMedian.fptsde1dMedian.fptsde2dMedian.fptsde3dMedian.snssde1dMedian.snssde2dMedian.snssde3dMedian.st.intMEM.sdeMEM.sde.defaultmin.bridgesde1dmin.bridgesde2dmin.bridgesde3dmin.fptsde1dmin.fptsde2dmin.fptsde3dmin.snssde1dmin.snssde2dmin.snssde3dmin.st.intModeMode.bridgesde1dMode.bridgesde2dMode.bridgesde3dMode.defaultMode.fptsde1dMode.fptsde2dMode.fptsde3dMode.snssde1dMode.snssde2dMode.snssde3dMode.st.intmomentmoment.bridgesde1dmoment.bridgesde2dmoment.bridgesde3dmoment.defaultmoment.fptsde1dmoment.fptsde2dmoment.fptsde3dmoment.snssde1dmoment.snssde2dmoment.snssde3dmoment.st.intOUOU.defaultplot.bridgesde1dplot.bridgesde2dplot.bridgesde3dplot.dfptsde1dplot.dfptsde2dplot.dfptsde3dplot.dsde1dplot.dsde2dplot.dsde3dplot.MCM.sdeplot.snssde1dplot.snssde2dplot.snssde3dplot.st.intplot2dplot2d.bridgesde2dplot2d.defaultplot2d.snssde2dplot3Dplot3D.bridgesde3dplot3D.defaultplot3D.snssde3dpoints.bridgesde1dpoints.bridgesde2dpoints.bridgesde3dpoints.snssde1dpoints.snssde2dpoints.snssde3dpoints.st.intpoints2dpoints2d.bridgesde2dpoints2d.defaultpoints2d.snssde2dprint.bridgesde1dprint.bridgesde2dprint.bridgesde3dprint.dfptsde1dprint.dfptsde2dprint.dfptsde3dprint.dsde1dprint.dsde2dprint.dsde3dprint.fitsdeprint.fptsde1dprint.fptsde2dprint.fptsde3dprint.MCM.sdeprint.MEM.sdeprint.snssde1dprint.snssde2dprint.snssde3dprint.st.intquantile.bridgesde1dquantile.bridgesde2dquantile.bridgesde3dquantile.fptsde1dquantile.fptsde2dquantile.fptsde3dquantile.snssde1dquantile.snssde2dquantile.snssde3dquantile.st.intrsde1drsde1d.defaultrsde2drsde2d.defaultrsde3drsde3d.defaultskewnessskewness.bridgesde1dskewness.bridgesde2dskewness.bridgesde3dskewness.defaultskewness.fptsde1dskewness.fptsde2dskewness.fptsde3dskewness.snssde1dskewness.snssde2dskewness.snssde3dskewness.st.intsnssde1dsnssde1d.defaultsnssde2dsnssde2d.defaultsnssde3dsnssde3d.defaultst.intst.int.defaultsummary.bridgesde1dsummary.bridgesde2dsummary.bridgesde3dsummary.fitsdesummary.fptsde1dsummary.fptsde2dsummary.fptsde3dsummary.MEM.sdesummary.snssde1dsummary.snssde2dsummary.snssde3dsummary.st.intTEX.sdeTEX.sde.defaulttime.bridgesde1dtime.bridgesde2dtime.bridgesde3dtime.snssde1dtime.snssde2dtime.snssde3dtime.st.intvcov.fitsde

Dependencies:DerivMASS

Constructs and Analysis of Bridges Stochastic Differential Equations

A.C. Guidoum^[Department of Mathematics and Computer Science, Faculty of Sciences and Technology, University of Tamanghasset, Algeria, E-mail ([email protected])] and K. Boukhetala^[Faculty of Mathematics, University of Science and Technology Houari Boumediene, BP 32 El-Alia, U.S.T.H.B, Algeria, E-mail ([email protected])]

Rendered frombridgesde.Rmdusingknitr::rmarkdownon Nov 01 2024.

Last update: 2024-03-05
Started: 2018-09-12

Converting Sim.DiffProc Objects to LaTeX

A.C. Guidoum^[Department of Mathematics and Computer Science, Faculty of Sciences and Technology, University of Tamanghasset, Algeria, E-mail ([email protected])] and K. Boukhetala^[Faculty of Mathematics, University of Science and Technology Houari Boumediene, BP 32 El-Alia, U.S.T.H.B, Algeria, E-mail ([email protected])]

Rendered fromsdetotex.Rmdusingknitr::rmarkdownon Nov 01 2024.

Last update: 2024-03-05
Started: 2018-09-12

Monte-Carlo Simulations and Analysis of Stochastic Differential Equations

A.C. Guidoum^[Department of Mathematics and Computer Science, Faculty of Sciences and Technology, University of Tamanghasset, Algeria, E-mail ([email protected])] and K. Boukhetala^[Faculty of Mathematics, University of Science and Technology Houari Boumediene, BP 32 El-Alia, U.S.T.H.B, Algeria, E-mail ([email protected])]

Rendered fromsnssde.Rmdusingknitr::rmarkdownon Nov 01 2024.

Last update: 2024-03-05
Started: 2018-09-12

Monte-Carlo Simulation and Kernel Density Estimation of First passage time

A.C. Guidoum^[Department of Mathematics and Computer Science, Faculty of Sciences and Technology, University of Tamanghasset, Algeria, E-mail ([email protected])] and K. Boukhetala^[Faculty of Mathematics, University of Science and Technology Houari Boumediene, BP 32 El-Alia, U.S.T.H.B, Algeria, E-mail ([email protected])]

Rendered fromfptsde.Rmdusingknitr::rmarkdownon Nov 01 2024.

Last update: 2024-03-05
Started: 2018-09-12

Parallel Monte-Carlo and Moment Equations for SDEs

A.C. Guidoum^[Department of Mathematics and Computer Science, Faculty of Sciences and Technology, University of Tamanghasset, Algeria, E-mail ([email protected])] and K. Boukhetala^[Faculty of Mathematics, University of Science and Technology Houari Boumediene, BP 32 El-Alia, U.S.T.H.B, Algeria, E-mail ([email protected])]

Rendered frommcmsde.Rmdusingknitr::rmarkdownon Nov 01 2024.

Last update: 2024-03-05
Started: 2018-09-12

Parametric Estimation of 1-D Stochastic Differential Equation

A.C. Guidoum^[Department of Mathematics and Computer Science, Faculty of Sciences and Technology, University of Tamanghasset, Algeria, E-mail ([email protected])] and K. Boukhetala^[Faculty of Mathematics, University of Science and Technology Houari Boumediene, BP 32 El-Alia, U.S.T.H.B, Algeria, E-mail ([email protected])]

Rendered fromfitsde.Rmdusingknitr::rmarkdownon Nov 01 2024.

Last update: 2024-03-05
Started: 2018-09-12

Readme and manuals

Help Manual

Help pageTopics
Simulation of Diffusion ProcessesSim.DiffProc-package Sim.DiffProc
Brownian motion, Brownian bridge, geometric Brownian motion, and arithmetic Brownian motion simulatorsABM ABM.default BB BB.default BM BM.default GBM GBM.default
Simulation of 1-D Bridge SDEbconfint.bridgesde1d bridgesde1d bridgesde1d.default cv.bridgesde1d kurtosis.bridgesde1d lines.bridgesde1d max.bridgesde1d mean.bridgesde1d Median.bridgesde1d min.bridgesde1d Mode.bridgesde1d moment.bridgesde1d plot.bridgesde1d points.bridgesde1d print.bridgesde1d quantile.bridgesde1d skewness.bridgesde1d summary.bridgesde1d time.bridgesde1d
Simulation of 2-D Bridge SDE'sbconfint.bridgesde2d bridgesde2d bridgesde2d.default cv.bridgesde2d kurtosis.bridgesde2d lines.bridgesde2d lines2d.bridgesde2d max.bridgesde2d mean.bridgesde2d Median.bridgesde2d min.bridgesde2d Mode.bridgesde2d moment.bridgesde2d plot.bridgesde2d plot2d.bridgesde2d points.bridgesde2d points2d.bridgesde2d print.bridgesde2d quantile.bridgesde2d skewness.bridgesde2d summary.bridgesde2d time.bridgesde2d
Simulation of 3-D Bridge SDE'sbconfint.bridgesde3d bridgesde3d bridgesde3d.default cv.bridgesde3d kurtosis.bridgesde3d lines.bridgesde3d max.bridgesde3d mean.bridgesde3d Median.bridgesde3d min.bridgesde3d Mode.bridgesde3d moment.bridgesde3d plot.bridgesde3d plot3D.bridgesde3d points.bridgesde3d print.bridgesde3d quantile.bridgesde3d skewness.bridgesde3d summary.bridgesde3d time.bridgesde3d
Maximum Pseudo-Likelihood Estimation of 1-D SDEAIC.fitsde BIC.fitsde coef.fitsde confint.fitsde fitsde fitsde.default logLik.fitsde print.fitsde summary.fitsde vcov.fitsde
Approximate densities and random generation for first passage time in 1-D SDEcv.fptsde1d dfptsde1d dfptsde1d.default fptsde1d fptsde1d.default kurtosis.fptsde1d max.fptsde1d mean.fptsde1d Median.fptsde1d min.fptsde1d Mode.fptsde1d moment.fptsde1d plot.dfptsde1d print.dfptsde1d print.fptsde1d quantile.fptsde1d skewness.fptsde1d summary.fptsde1d
Approximate densities and random generation for first passage time in 2-D SDE'scv.fptsde2d dfptsde2d dfptsde2d.default fptsde2d fptsde2d.default kurtosis.fptsde2d max.fptsde2d mean.fptsde2d Median.fptsde2d min.fptsde2d Mode.fptsde2d moment.fptsde2d plot.dfptsde2d print.dfptsde2d print.fptsde2d quantile.fptsde2d skewness.fptsde2d summary.fptsde2d
Approximate densities and random generation for first passage time in 3-D SDE'scv.fptsde3d dfptsde3d dfptsde3d.default fptsde3d fptsde3d.default kurtosis.fptsde3d max.fptsde3d mean.fptsde3d Median.fptsde3d min.fptsde3d Mode.fptsde3d moment.fptsde3d plot.dfptsde3d print.dfptsde3d print.fptsde3d quantile.fptsde3d skewness.fptsde3d summary.fptsde3d
Hull-White/Vasicek, Ornstein-Uhlenbeck processHWV HWV.default OU OU.default
Monthly Interest RatesIrates
Parallel Monte-Carlo Methods for SDE'sMCM.sde MCM.sde.default plot.MCM.sde print.MCM.sde
Moment Equations Methods for SDE'sMEM.sde MEM.sde.default print.MEM.sde summary.MEM.sde
Monte-Carlo statistics of SDE'sbconfint bconfint.default cv cv.default kurtosis kurtosis.default Median Median.default Mode Mode.default moment moment.default skewness skewness.default
Plotting for Class SDElines2d lines2d.default plot2d plot2d.default plot3D plot3D.default points2d points2d.default
Approximate transitional densities and random generation for 1-D SDEdsde1d dsde1d.default plot.dsde1d print.dsde1d rsde1d rsde1d.default
Approximate transitional densities and random generation for 2-D SDE'sdsde2d dsde2d.default plot.dsde2d print.dsde2d rsde2d rsde2d.default
Approximate transitional densities and random generation for 3-D SDE'sdsde3d dsde3d.default plot.dsde3d print.dsde3d rsde3d rsde3d.default
Simulation of 1-D Stochastic Differential Equationbconfint.snssde1d cv.snssde1d kurtosis.snssde1d lines.snssde1d max.snssde1d mean.snssde1d Median.snssde1d min.snssde1d Mode.snssde1d moment.snssde1d plot.snssde1d points.snssde1d print.snssde1d quantile.snssde1d skewness.snssde1d snssde1d snssde1d.default summary.snssde1d time.snssde1d
Simulation of 2-D Stochastic Differential Equationbconfint.snssde2d cv.snssde2d kurtosis.snssde2d lines.snssde2d lines2d.snssde2d max.snssde2d mean.snssde2d Median.snssde2d min.snssde2d Mode.snssde2d moment.snssde2d plot.snssde2d plot2d.snssde2d points.snssde2d points2d.snssde2d print.snssde2d quantile.snssde2d skewness.snssde2d snssde2d snssde2d.default summary.snssde2d time.snssde2d
Simulation of 3-D Stochastic Differential Equationbconfint.snssde3d cv.snssde3d kurtosis.snssde3d lines.snssde3d max.snssde3d mean.snssde3d Median.snssde3d min.snssde3d Mode.snssde3d moment.snssde3d plot.snssde3d plot3D.snssde3d points.snssde3d print.snssde3d quantile.snssde3d skewness.snssde3d snssde3d snssde3d.default summary.snssde3d time.snssde3d
Stochastic Integralsbconfint.st.int cv.st.int kurtosis.st.int lines.st.int max.st.int mean.st.int Median.st.int min.st.int Mode.st.int moment.st.int plot.st.int points.st.int print.st.int quantile.st.int skewness.st.int st.int st.int.default summary.st.int time.st.int
Converting Sim.DiffProc Objects to LaTeXTEX.sde TEX.sde.default