Sim.DiffProc: Simulation of Diffusion Processes

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 Itô 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).

Version: 3.8
Depends: R (≥ 2.15.1)
Imports: Deriv (≥ 3.8.0), MASS, parallel, rgl (≥ 0.66), scatterplot3d (≥ 0.3-36)
Suggests: deSolve (≥ 1.11), knitr, sm (≥ 2.2-5.3)
Published: 2017-09-16
Author: Arsalane Chouaib Guidoum [cre, aut], Kamal Boukhetala [aut]
Maintainer: Arsalane Chouaib Guidoum <acguidoum at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Classification/MSC: 37H10, 37M10, 60H05, 60H10, 60H35, 60J60, 65C05, 68N15, 68Q10
Citation: Sim.DiffProc citation info
Materials: NEWS
In views: DifferentialEquations, Finance, HighPerformanceComputing, TimeSeries
CRAN checks: Sim.DiffProc results


Reference manual: Sim.DiffProc.pdf
Vignettes: The Sim.DiffProc Package
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
Monte-Carlo Simulation and Analysis of Stochastic Differential Equations
Package source: Sim.DiffProc_3.8.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X El Capitan binaries: r-release: Sim.DiffProc_3.8.tgz
OS X Mavericks binaries: r-oldrel: Sim.DiffProc_3.8.tgz
Old sources: Sim.DiffProc archive


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