Sim.DiffProc: Simulation of Diffusion Processes

The package Sim.DiffProc is an object created in R environment 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.

Version: 2.9
Depends: R (≥ 2.15.1), scatterplot3d, rgl
Published: 2014-09-10
Author: Arsalane Chouaib Guidoum, Kamal Boukhetala
Maintainer: Arsalane Chouaib Guidoum <acguidoum at>
License: GPL (≥ 3) | file LICENCE
NeedsCompilation: yes
Citation: Sim.DiffProc citation info
Materials: NEWS
In views: TimeSeries
CRAN checks: Sim.DiffProc results


Reference manual: Sim.DiffProc.pdf
Vignettes: Estimation of Stochastic Differential Equations
Introduction to Sim.DiffProc
Itô and Stratonovich Stochastic Calculus
Package source: Sim.DiffProc_2.9.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X Snow Leopard binaries: r-release: Sim.DiffProc_2.9.tgz, r-oldrel: Sim.DiffProc_2.9.tgz
OS X Mavericks binaries: r-release: Sim.DiffProc_2.9.tgz
Old sources: Sim.DiffProc archive