Simulation and Inference for Stochastic Differential Equations

---

Documentation for package ‘sde’ version 2.0.18

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

BBridge	Brownian motion, Brownian bridge, and geometric Brownian motion simulators
BM	Brownian motion, Brownian bridge, and geometric Brownian motion simulators
cpoint	Volatility change-point estimator for diffusion processes
DBridge	Simulation of diffusion bridge
dcBS	Black-Scholes-Merton or geometric Brownian motion process conditional law
dcCIR	Conditional law of the Cox-Ingersoll-Ross process
dcElerian	Approximated conditional law of a diffusion process by Elerian's method
dcEuler	Approximated conditional law of a diffusion process
dcKessler	Approximated conditional law of a diffusion process by Kessler's method
dcOU	Ornstein-Uhlenbeck or Vasicek process conditional law
dcOzaki	Approximated conditional law of a diffusion process by Ozaki's method
dcShoji	Approximated conditional law of a diffusion process by the Shoji-Ozaki method
dcSim	Pedersen's simulated transition density
dsCIR	Cox-Ingersoll-Ross process stationary law
dsOU	Ornstein-Uhlenbeck or Vasicek process stationary law
DWJ	Weekly closings of the Dow-Jones industrial average
EULERloglik	Euler approximation of the likelihood
GBM	Brownian motion, Brownian bridge, and geometric Brownian motion simulators
gmm	Generalized method of moments estimator
HPloglik	Ait-Sahalia Hermite polynomial expansion approximation of the likelihood
ksdens	Nonparametric invariant density, drift, and diffusion coefficient estimation
ksdiff	Nonparametric invariant density, drift, and diffusion coefficient estimation
ksdrift	Nonparametric invariant density, drift, and diffusion coefficient estimation
linear.mart.ef	Linear martingale estimating function
MOdist	Markov Operator distance for clustering diffusion processes.
pcBS	Black-Scholes-Merton or geometric Brownian motion process conditional law
pcCIR	Conditional law of the Cox-Ingersoll-Ross process
pcOU	Ornstein-Uhlenbeck or Vasicek process conditional law
psCIR	Cox-Ingersoll-Ross process stationary law
psOU	Ornstein-Uhlenbeck or Vasicek process stationary law
qcBS	Black-Scholes-Merton or geometric Brownian motion process conditional law
qcCIR	Conditional law of the Cox-Ingersoll-Ross process
qcOU	Ornstein-Uhlenbeck or Vasicek process conditional law
qsCIR	Cox-Ingersoll-Ross process stationary law
qsOU	Ornstein-Uhlenbeck or Vasicek process stationary law
quotes	Daily closings of 20 financial time series from 2006-01-03 to 2007-12-31
rcBS	Black-Scholes-Merton or geometric Brownian motion process conditional law
rcCIR	Conditional law of the Cox-Ingersoll-Ross process
rcOU	Ornstein-Uhlenbeck or Vasicek process conditional law
rsCIR	Cox-Ingersoll-Ross process stationary law
rsOU	Ornstein-Uhlenbeck or Vasicek process stationary law
sde.sim	Simulation of stochastic differential equation
sdeAIC	Akaike's information criterion for diffusion processes
sdeDiv	Phi-Divergences test for diffusion processes
SIMloglik	Pedersen's approximation of the likelihood
simple.ef	Simple estimating functions of types I and II
simple.ef2	Simple estimating function based on the infinitesimal generator a the diffusion process