Simulation of Diffusion Processes
Brownian motion, Brownian bridge, geometric Brownian motion, and arith...
Simulation of 1-D Bridge SDE
Simulation of 2-D Bridge SDE's
Simulation of 3-D Bridge SDE's
Maximum Pseudo-Likelihood Estimation of 1-D SDE
Approximate densities and random generation for first passage time in ...
Approximate densities and random generation for first passage time in ...
Approximate densities and random generation for first passage time in ...
Hull-White/Vasicek, Ornstein-Uhlenbeck process
Parallel Monte-Carlo Methods for SDE's
Moment Equations Methods for SDE's
Monte-Carlo statistics of SDE's
Plotting for Class SDE
Approximate transitional densities and random generation for 1-D SDE
Approximate transitional densities and random generation for 2-D SDE's
Approximate transitional densities and random generation for 3-D SDE's
Simulation of Diffusion Processes
Simulation of 1-D Stochastic Differential Equation
Simulation of 2-D Stochastic Differential Equation
Simulation of 3-D Stochastic Differential Equation
Stochastic Integrals
Converting Sim.DiffProc Objects to LaTeX
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.
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