Performing Parallel Monte Carlo and Moment Equations Methods for Itô and Stratonovich Stochastic Differential Systems: R Package Sim.DiffProc

Performing Parallel Monte Carlo and Moment Equations Methods for Itô and Stratonovich Stochastic Differential Systems: R Package Sim.DiffProc

We introduce Sim.DiffProc, an R package for symbolic and numerical computations on scalar and multivariate systems of stochastic differential equations (SDEs). It provides users with a wide range of tools to simulate, estimate, analyze, and visualize the dynamics of these systems in both forms, Itô...

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Bibliographic Details
Main Authors: Arsalane Chouaib Guidoum, Kamal Boukhetala
Format: Article
Language:English
Published: Foundation for Open Access Statistics 2020-11-01
Series:Journal of Statistical Software
Subjects:
stochastic differential equation
stochastic calculus
moment equations
monte carlo simulation
parallel computing
statistical sampling
statistical analysis
nonparametric
transition density
reproducible research
latex
r
Online Access:https://www.jstatsoft.org/index.php/jss/article/view/2733

Internet

https://www.jstatsoft.org/index.php/jss/article/view/2733

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