The Sim.DiffProc Package

A.C. Guidoum and K. Boukhetala


Package Overview

The package Sim.DiffProc is an object created in the R provide functions useful to simulating of (multidimensional) stochastic differential equations (SDE’s), and statistically analyze the diffusion process solution of SDE’s; the project was officially launched in September 2010 and is under active development by the authors. The current feature set of the package can be split in more main categories: Computing the stochastic integrals of Ito or Stratonovich type. Simulation SDE’s and diffusion bridge of Ito or Stratonovich type, with different methods. Random number generators (RN’s) to generate SDE’s. First-passage-time (f.p.t) in SDE’s. Estimate drift and diffusion parameters using pseudo-maximum likelihood estimators of 1-dim SDE’s. Displaying an object inheriting from a class of SDE’s.

The package includes the following functions:

  1. snssde - Simulations and models for SDE’s.
  2. rsde - Random number generators for SDE’s.
  3. fptsde - First passage time for SDE’s.
  4. fitsde - Estimation of 1-Dim SDE.


It is a requirement of the R packaging system that every function and data set in a package has a help page. The Sim.DiffProc package follows this requirement strictly. In addition to the help pages, the package includes vignettes and demonstration scripts;

vignette(package = "Sim.DiffProc")


demo(package = "Sim.DiffProc")

Collaboration and citation

Obviously, the package leaves many other fields of stochastic modeling with Ito and Stratonovich SDE’s untouched. For this situation to change, we hope that experts in their field will join their efforts to ours and contribute code to the Sim.DiffProc project. The project will continue to grow and improve by the authors to the community of developers and users. If you use Sim.DiffProc please cite the software in publications; use citation() for information on how to cite the software;

## To cite package 'Sim.DiffProc' in publications use:
##   Arsalane Chouaib Guidoum and Kamal Boukhetala (2016).
##   Sim.DiffProc: Simulation of Diffusion Processes.R package
##   version 3.4.
## A BibTeX entry for LaTeX users is
##   @Manual{,
##     title = {Sim.DiffProc: Simulation of Diffusion Processes.},
##     author = {Arsalane Chouaib Guidoum and Kamal Boukhetala},
##     year = {2016},
##     note = {R package version 3.4},
##     url = {},
##   }


Please send comments, error reports, etc. to the author via the addresses email.