Sim.DiffProc: Simulation of Diffusion Processes

Provides the functions for simulating and modeling of Ito and Stratonovich stochastic differential equations (SDE's). Statistical analysis and Monte-Carlo simulation of the solution 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. For example, modeling and simulate of dispersion in shallow water using the attractive center (Boukhetala K, 1996).

Version: 3.7
Depends: R (≥ 2.15.1)
Imports: MASS, ks (≥ 1.10.0), misc3d (≥ 0.8-4), scatterplot3d (≥ 0.3-36), rgl (≥ 0.66)
Suggests: knitr
Published: 2017-03-25
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, 68N15
Citation: Sim.DiffProc citation info
Materials: NEWS
In views: DifferentialEquations, Finance, TimeSeries
CRAN checks: Sim.DiffProc results


Reference manual: Sim.DiffProc.pdf
Vignettes: The Sim.DiffProc Package
Estimation of stochastic differential equation
First-passage-time for stochastic differential equations
Simulations and models of stochastic differential equations
Package source: Sim.DiffProc_3.7.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X El Capitan binaries: r-release: Sim.DiffProc_3.7.tgz
OS X Mavericks binaries: r-oldrel: Sim.DiffProc_3.7.tgz
Old sources: Sim.DiffProc archive


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