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.

Version: 4.9
Depends: R (≥ 4.0.0)
Imports: Deriv (≥ 3.8.0), MASS (≥ 7.3-30), parallel
Suggests: deSolve (≥ 1.11), knitr (≥ 1.10), rgl (≥ 0.93.991), rmarkdown (≥ 0.8), scatterplot3d (≥ 0.3-36), sm (≥ 2.2-5.3)
Published: 2024-03-06
DOI: 10.32614/CRAN.package.Sim.DiffProc
Author: Arsalane Chouaib Guidoum ORCID iD [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: README NEWS
In views: DifferentialEquations, Finance, HighPerformanceComputing, Psychometrics, TimeSeries
CRAN checks: Sim.DiffProc results


Reference manual: Sim.DiffProc.pdf
Vignettes: 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
Converting Sim.DiffProc Objects to LaTeX
Monte-Carlo Simulation and Analysis of Stochastic Differential Equations


Package source: Sim.DiffProc_4.9.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): Sim.DiffProc_4.9.tgz, r-oldrel (arm64): Sim.DiffProc_4.9.tgz, r-release (x86_64): Sim.DiffProc_4.9.tgz, r-oldrel (x86_64): Sim.DiffProc_4.9.tgz
Old sources: Sim.DiffProc archive

Reverse dependencies:

Reverse suggests: ohun, warbleR


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