Sim.DiffProc: Simulation of Diffusion Processes. Provides the functions for simulation and modeling of stochastic differential equations (SDE’s) the type Ito and Stratonovich. This package contains many objects, the numerical methods to find the solutions to SDE’s (1, 2 and 3-dim), with a possibility for simulates a flows trajectories,with good accuracy. Many theoretical problems on the SDE’s have become the object of practical research, as statistical analysis and simulation of solution of SDE’s, enabled many searchers in different domains to use these equations to modeling and to analyse practical problems, in financial and actuarial modeling and other areas of application, for example modelling and simulate of dispersion in shallow water using the attractive center (Boukhetala K, 1996). We hope that the package presented here and the updated survey on the subject might be of help for practitioners, postgraduate and PhD students, and researchers in the field who might want to implement new methods.
References in zbMATH (referenced in 1 article )
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- Román-Román, P.; Serrano-Pérez, J.J.; Torres-Ruiz, F.: More general problems on first-passage times for diffusion processes: a new version of the fptdApprox R package (2014)