Simulation of Diffusion Processes
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Documentation for package ‘Sim.DiffProc’ version 4.9
- DESCRIPTION file.
- User guides, package vignettes and other documentation.
- Code demos. Use demo() to run them.
- Package NEWS.
Help Pages
A B C D F G H I K L M O P Q R S T V
| Sim.DiffProc-package | Simulation of Diffusion Processes |
-- A --
| ABM | Brownian motion, Brownian bridge, geometric Brownian motion, and arithmetic Brownian motion simulators |
| ABM.default | Brownian motion, Brownian bridge, geometric Brownian motion, and arithmetic Brownian motion simulators |
| AIC.fitsde | Maximum Pseudo-Likelihood Estimation of 1-D SDE |
-- B --
| BB | Brownian motion, Brownian bridge, geometric Brownian motion, and arithmetic Brownian motion simulators |
| BB.default | Brownian motion, Brownian bridge, geometric Brownian motion, and arithmetic Brownian motion simulators |
| bconfint | Monte-Carlo statistics of SDE's |
| bconfint.bridgesde1d | Simulation of 1-D Bridge SDE |
| bconfint.bridgesde2d | Simulation of 2-D Bridge SDE's |
| bconfint.bridgesde3d | Simulation of 3-D Bridge SDE's |
| bconfint.default | Monte-Carlo statistics of SDE's |
| bconfint.snssde1d | Simulation of 1-D Stochastic Differential Equation |
| bconfint.snssde2d | Simulation of 2-D Stochastic Differential Equation |
| bconfint.snssde3d | Simulation of 3-D Stochastic Differential Equation |
| bconfint.st.int | Stochastic Integrals |
| BIC.fitsde | Maximum Pseudo-Likelihood Estimation of 1-D SDE |
| BM | Brownian motion, Brownian bridge, geometric Brownian motion, and arithmetic Brownian motion simulators |
| BM.default | Brownian motion, Brownian bridge, geometric Brownian motion, and arithmetic Brownian motion simulators |
| bridgesde1d | Simulation of 1-D Bridge SDE |
| bridgesde1d.default | Simulation of 1-D Bridge SDE |
| bridgesde2d | Simulation of 2-D Bridge SDE's |
| bridgesde2d.default | Simulation of 2-D Bridge SDE's |
| bridgesde3d | Simulation of 3-D Bridge SDE's |
| bridgesde3d.default | Simulation of 3-D Bridge SDE's |
-- C --
| coef.fitsde | Maximum Pseudo-Likelihood Estimation of 1-D SDE |
| confint.fitsde | Maximum Pseudo-Likelihood Estimation of 1-D SDE |
| cv | Monte-Carlo statistics of SDE's |
| cv.bridgesde1d | Simulation of 1-D Bridge SDE |
| cv.bridgesde2d | Simulation of 2-D Bridge SDE's |
| cv.bridgesde3d | Simulation of 3-D Bridge SDE's |
| cv.default | Monte-Carlo statistics of SDE's |
| cv.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE |
| cv.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's |
| cv.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's |
| cv.snssde1d | Simulation of 1-D Stochastic Differential Equation |
| cv.snssde2d | Simulation of 2-D Stochastic Differential Equation |
| cv.snssde3d | Simulation of 3-D Stochastic Differential Equation |
| cv.st.int | Stochastic Integrals |
-- D --
| dfptsde1d | Approximate densities and random generation for first passage time in 1-D SDE |
| dfptsde1d.default | Approximate densities and random generation for first passage time in 1-D SDE |
| dfptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's |
| dfptsde2d.default | Approximate densities and random generation for first passage time in 2-D SDE's |
| dfptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's |
| dfptsde3d.default | Approximate densities and random generation for first passage time in 3-D SDE's |
| dsde1d | Approximate transitional densities and random generation for 1-D SDE |
| dsde1d.default | Approximate transitional densities and random generation for 1-D SDE |
| dsde2d | Approximate transitional densities and random generation for 2-D SDE's |
| dsde2d.default | Approximate transitional densities and random generation for 2-D SDE's |
| dsde3d | Approximate transitional densities and random generation for 3-D SDE's |
| dsde3d.default | Approximate transitional densities and random generation for 3-D SDE's |
-- F --
| fitsde | Maximum Pseudo-Likelihood Estimation of 1-D SDE |
| fitsde.default | Maximum Pseudo-Likelihood Estimation of 1-D SDE |
| fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE |
| fptsde1d.default | Approximate densities and random generation for first passage time in 1-D SDE |
| fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's |
| fptsde2d.default | Approximate densities and random generation for first passage time in 2-D SDE's |
| fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's |
| fptsde3d.default | Approximate densities and random generation for first passage time in 3-D SDE's |
-- G --
| GBM | Brownian motion, Brownian bridge, geometric Brownian motion, and arithmetic Brownian motion simulators |
| GBM.default | Brownian motion, Brownian bridge, geometric Brownian motion, and arithmetic Brownian motion simulators |
-- H --
| HWV | Hull-White/Vasicek, Ornstein-Uhlenbeck process |
| HWV.default | Hull-White/Vasicek, Ornstein-Uhlenbeck process |
-- I --
| Irates | Monthly Interest Rates |
-- K --
| kurtosis | Monte-Carlo statistics of SDE's |
| kurtosis.bridgesde1d | Simulation of 1-D Bridge SDE |
| kurtosis.bridgesde2d | Simulation of 2-D Bridge SDE's |
| kurtosis.bridgesde3d | Simulation of 3-D Bridge SDE's |
| kurtosis.default | Monte-Carlo statistics of SDE's |
| kurtosis.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE |
| kurtosis.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's |
| kurtosis.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's |
| kurtosis.snssde1d | Simulation of 1-D Stochastic Differential Equation |
| kurtosis.snssde2d | Simulation of 2-D Stochastic Differential Equation |
| kurtosis.snssde3d | Simulation of 3-D Stochastic Differential Equation |
| kurtosis.st.int | Stochastic Integrals |
-- L --
| lines.bridgesde1d | Simulation of 1-D Bridge SDE |
| lines.bridgesde2d | Simulation of 2-D Bridge SDE's |
| lines.bridgesde3d | Simulation of 3-D Bridge SDE's |
| lines.snssde1d | Simulation of 1-D Stochastic Differential Equation |
| lines.snssde2d | Simulation of 2-D Stochastic Differential Equation |
| lines.snssde3d | Simulation of 3-D Stochastic Differential Equation |
| lines.st.int | Stochastic Integrals |
| lines2d | Plotting for Class SDE |
| lines2d.bridgesde2d | Simulation of 2-D Bridge SDE's |
| lines2d.default | Plotting for Class SDE |
| lines2d.snssde2d | Simulation of 2-D Stochastic Differential Equation |
| logLik.fitsde | Maximum Pseudo-Likelihood Estimation of 1-D SDE |
-- M --
| max.bridgesde1d | Simulation of 1-D Bridge SDE |
| max.bridgesde2d | Simulation of 2-D Bridge SDE's |
| max.bridgesde3d | Simulation of 3-D Bridge SDE's |
| max.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE |
| max.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's |
| max.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's |
| max.snssde1d | Simulation of 1-D Stochastic Differential Equation |
| max.snssde2d | Simulation of 2-D Stochastic Differential Equation |
| max.snssde3d | Simulation of 3-D Stochastic Differential Equation |
| max.st.int | Stochastic Integrals |
| MCM.sde | Parallel Monte-Carlo Methods for SDE's |
| MCM.sde.default | Parallel Monte-Carlo Methods for SDE's |
| mean.bridgesde1d | Simulation of 1-D Bridge SDE |
| mean.bridgesde2d | Simulation of 2-D Bridge SDE's |
| mean.bridgesde3d | Simulation of 3-D Bridge SDE's |
| mean.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE |
| mean.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's |
| mean.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's |
| mean.snssde1d | Simulation of 1-D Stochastic Differential Equation |
| mean.snssde2d | Simulation of 2-D Stochastic Differential Equation |
| mean.snssde3d | Simulation of 3-D Stochastic Differential Equation |
| mean.st.int | Stochastic Integrals |
| Median | Monte-Carlo statistics of SDE's |
| Median.bridgesde1d | Simulation of 1-D Bridge SDE |
| Median.bridgesde2d | Simulation of 2-D Bridge SDE's |
| Median.bridgesde3d | Simulation of 3-D Bridge SDE's |
| Median.default | Monte-Carlo statistics of SDE's |
| Median.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE |
| Median.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's |
| Median.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's |
| Median.snssde1d | Simulation of 1-D Stochastic Differential Equation |
| Median.snssde2d | Simulation of 2-D Stochastic Differential Equation |
| Median.snssde3d | Simulation of 3-D Stochastic Differential Equation |
| Median.st.int | Stochastic Integrals |
| MEM.sde | Moment Equations Methods for SDE's |
| MEM.sde.default | Moment Equations Methods for SDE's |
| min.bridgesde1d | Simulation of 1-D Bridge SDE |
| min.bridgesde2d | Simulation of 2-D Bridge SDE's |
| min.bridgesde3d | Simulation of 3-D Bridge SDE's |
| min.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE |
| min.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's |
| min.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's |
| min.snssde1d | Simulation of 1-D Stochastic Differential Equation |
| min.snssde2d | Simulation of 2-D Stochastic Differential Equation |
| min.snssde3d | Simulation of 3-D Stochastic Differential Equation |
| min.st.int | Stochastic Integrals |
| Mode | Monte-Carlo statistics of SDE's |
| Mode.bridgesde1d | Simulation of 1-D Bridge SDE |
| Mode.bridgesde2d | Simulation of 2-D Bridge SDE's |
| Mode.bridgesde3d | Simulation of 3-D Bridge SDE's |
| Mode.default | Monte-Carlo statistics of SDE's |
| Mode.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE |
| Mode.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's |
| Mode.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's |
| Mode.snssde1d | Simulation of 1-D Stochastic Differential Equation |
| Mode.snssde2d | Simulation of 2-D Stochastic Differential Equation |
| Mode.snssde3d | Simulation of 3-D Stochastic Differential Equation |
| Mode.st.int | Stochastic Integrals |
| moment | Monte-Carlo statistics of SDE's |
| moment.bridgesde1d | Simulation of 1-D Bridge SDE |
| moment.bridgesde2d | Simulation of 2-D Bridge SDE's |
| moment.bridgesde3d | Simulation of 3-D Bridge SDE's |
| moment.default | Monte-Carlo statistics of SDE's |
| moment.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE |
| moment.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's |
| moment.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's |
| moment.snssde1d | Simulation of 1-D Stochastic Differential Equation |
| moment.snssde2d | Simulation of 2-D Stochastic Differential Equation |
| moment.snssde3d | Simulation of 3-D Stochastic Differential Equation |
| moment.st.int | Stochastic Integrals |
-- O --
| OU | Hull-White/Vasicek, Ornstein-Uhlenbeck process |
| OU.default | Hull-White/Vasicek, Ornstein-Uhlenbeck process |
-- P --
| plot.bridgesde1d | Simulation of 1-D Bridge SDE |
| plot.bridgesde2d | Simulation of 2-D Bridge SDE's |
| plot.bridgesde3d | Simulation of 3-D Bridge SDE's |
| plot.dfptsde1d | Approximate densities and random generation for first passage time in 1-D SDE |
| plot.dfptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's |
| plot.dfptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's |
| plot.dsde1d | Approximate transitional densities and random generation for 1-D SDE |
| plot.dsde2d | Approximate transitional densities and random generation for 2-D SDE's |
| plot.dsde3d | Approximate transitional densities and random generation for 3-D SDE's |
| plot.MCM.sde | Parallel Monte-Carlo Methods for SDE's |
| plot.snssde1d | Simulation of 1-D Stochastic Differential Equation |
| plot.snssde2d | Simulation of 2-D Stochastic Differential Equation |
| plot.snssde3d | Simulation of 3-D Stochastic Differential Equation |
| plot.st.int | Stochastic Integrals |
| plot2d | Plotting for Class SDE |
| plot2d.bridgesde2d | Simulation of 2-D Bridge SDE's |
| plot2d.default | Plotting for Class SDE |
| plot2d.snssde2d | Simulation of 2-D Stochastic Differential Equation |
| plot3D | Plotting for Class SDE |
| plot3D.bridgesde3d | Simulation of 3-D Bridge SDE's |
| plot3D.default | Plotting for Class SDE |
| plot3D.snssde3d | Simulation of 3-D Stochastic Differential Equation |
| points.bridgesde1d | Simulation of 1-D Bridge SDE |
| points.bridgesde2d | Simulation of 2-D Bridge SDE's |
| points.bridgesde3d | Simulation of 3-D Bridge SDE's |
| points.snssde1d | Simulation of 1-D Stochastic Differential Equation |
| points.snssde2d | Simulation of 2-D Stochastic Differential Equation |
| points.snssde3d | Simulation of 3-D Stochastic Differential Equation |
| points.st.int | Stochastic Integrals |
| points2d | Plotting for Class SDE |
| points2d.bridgesde2d | Simulation of 2-D Bridge SDE's |
| points2d.default | Plotting for Class SDE |
| points2d.snssde2d | Simulation of 2-D Stochastic Differential Equation |
| print.bridgesde1d | Simulation of 1-D Bridge SDE |
| print.bridgesde2d | Simulation of 2-D Bridge SDE's |
| print.bridgesde3d | Simulation of 3-D Bridge SDE's |
| print.dfptsde1d | Approximate densities and random generation for first passage time in 1-D SDE |
| print.dfptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's |
| print.dfptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's |
| print.dsde1d | Approximate transitional densities and random generation for 1-D SDE |
| print.dsde2d | Approximate transitional densities and random generation for 2-D SDE's |
| print.dsde3d | Approximate transitional densities and random generation for 3-D SDE's |
| print.fitsde | Maximum Pseudo-Likelihood Estimation of 1-D SDE |
| print.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE |
| print.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's |
| print.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's |
| print.MCM.sde | Parallel Monte-Carlo Methods for SDE's |
| print.MEM.sde | Moment Equations Methods for SDE's |
| print.snssde1d | Simulation of 1-D Stochastic Differential Equation |
| print.snssde2d | Simulation of 2-D Stochastic Differential Equation |
| print.snssde3d | Simulation of 3-D Stochastic Differential Equation |
| print.st.int | Stochastic Integrals |
-- Q --
| quantile.bridgesde1d | Simulation of 1-D Bridge SDE |
| quantile.bridgesde2d | Simulation of 2-D Bridge SDE's |
| quantile.bridgesde3d | Simulation of 3-D Bridge SDE's |
| quantile.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE |
| quantile.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's |
| quantile.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's |
| quantile.snssde1d | Simulation of 1-D Stochastic Differential Equation |
| quantile.snssde2d | Simulation of 2-D Stochastic Differential Equation |
| quantile.snssde3d | Simulation of 3-D Stochastic Differential Equation |
| quantile.st.int | Stochastic Integrals |
-- R --
| rsde1d | Approximate transitional densities and random generation for 1-D SDE |
| rsde1d.default | Approximate transitional densities and random generation for 1-D SDE |
| rsde2d | Approximate transitional densities and random generation for 2-D SDE's |
| rsde2d.default | Approximate transitional densities and random generation for 2-D SDE's |
| rsde3d | Approximate transitional densities and random generation for 3-D SDE's |
| rsde3d.default | Approximate transitional densities and random generation for 3-D SDE's |
-- S --
| Sim.DiffProc | Simulation of Diffusion Processes |
| skewness | Monte-Carlo statistics of SDE's |
| skewness.bridgesde1d | Simulation of 1-D Bridge SDE |
| skewness.bridgesde2d | Simulation of 2-D Bridge SDE's |
| skewness.bridgesde3d | Simulation of 3-D Bridge SDE's |
| skewness.default | Monte-Carlo statistics of SDE's |
| skewness.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE |
| skewness.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's |
| skewness.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's |
| skewness.snssde1d | Simulation of 1-D Stochastic Differential Equation |
| skewness.snssde2d | Simulation of 2-D Stochastic Differential Equation |
| skewness.snssde3d | Simulation of 3-D Stochastic Differential Equation |
| skewness.st.int | Stochastic Integrals |
| snssde1d | Simulation of 1-D Stochastic Differential Equation |
| snssde1d.default | Simulation of 1-D Stochastic Differential Equation |
| snssde2d | Simulation of 2-D Stochastic Differential Equation |
| snssde2d.default | Simulation of 2-D Stochastic Differential Equation |
| snssde3d | Simulation of 3-D Stochastic Differential Equation |
| snssde3d.default | Simulation of 3-D Stochastic Differential Equation |
| st.int | Stochastic Integrals |
| st.int.default | Stochastic Integrals |
| summary.bridgesde1d | Simulation of 1-D Bridge SDE |
| summary.bridgesde2d | Simulation of 2-D Bridge SDE's |
| summary.bridgesde3d | Simulation of 3-D Bridge SDE's |
| summary.fitsde | Maximum Pseudo-Likelihood Estimation of 1-D SDE |
| summary.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE |
| summary.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's |
| summary.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's |
| summary.MEM.sde | Moment Equations Methods for SDE's |
| summary.snssde1d | Simulation of 1-D Stochastic Differential Equation |
| summary.snssde2d | Simulation of 2-D Stochastic Differential Equation |
| summary.snssde3d | Simulation of 3-D Stochastic Differential Equation |
| summary.st.int | Stochastic Integrals |
-- T --
| TEX.sde | Converting Sim.DiffProc Objects to LaTeX |
| TEX.sde.default | Converting Sim.DiffProc Objects to LaTeX |
| time.bridgesde1d | Simulation of 1-D Bridge SDE |
| time.bridgesde2d | Simulation of 2-D Bridge SDE's |
| time.bridgesde3d | Simulation of 3-D Bridge SDE's |
| time.snssde1d | Simulation of 1-D Stochastic Differential Equation |
| time.snssde2d | Simulation of 2-D Stochastic Differential Equation |
| time.snssde3d | Simulation of 3-D Stochastic Differential Equation |
| time.st.int | Stochastic Integrals |
-- V --
| vcov.fitsde | Maximum Pseudo-Likelihood Estimation of 1-D SDE |