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Constructs and Analysis of Bridges Stochastic Differential Equations2 years ago
Bridges SDE's | The bridgesdekd() functions | bridgesde1d() | bridgesde2d() | bridgesde3d() | Further reading | References
Sim.DiffProc 4.9A.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])]bridgesde.Rmd
Converting Sim.DiffProc Objects to LaTeX2 years ago
The TEX.sde() function | LaTeX table for object of class MCM.sde | LaTeX mathematic for object of class MEM.sde | LaTeX mathematic for an R expression of SDEs | Further reading | References
Sim.DiffProc 4.9A.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])]sdetotex.Rmd
Monte-Carlo Simulations and Analysis of Stochastic Differential Equations2 years ago
snssde1d() | snssde2d() | Ornstein-Uhlenbeck process and its integral | The stochastic Van-der-Pol equation | The Heston Model | snssde3d() | Basic example | Attractive model for 3D diffusion processes | Transformation of an SDE one-dimensional | Further reading | References
Sim.DiffProc 4.9A.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])]snssde.Rmd
Monte-Carlo Simulation and Kernel Density Estimation of First passage time2 years ago
The fptsdekd() functions | Examples | FPT for 1-Dim SDE | fptsde1d() vs Approx.fpt.density() | FPT for 3-Dim SDE's | Further reading | References
Sim.DiffProc 4.9A.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])]fptsde.Rmd
Parallel Monte-Carlo and Moment Equations for SDEs2 years ago
The MCM.sde() function | One-dimensional SDE | Two-dimensional SDEs | Three-dimensional SDEs | The MEM.sde() function | Further reading | References
Sim.DiffProc 4.9A.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])]mcmsde.Rmd
Parametric Estimation of 1-D Stochastic Differential Equation2 years ago
The fitsde() function | Euler method | Ozaki method | Shoji-Ozaki method | Kessler method | The fitsde() in practice | Model selection via AIC | Application to real data | Further reading | References
Sim.DiffProc 4.9A.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])]fitsde.Rmd