Simulation of Diffusion Processes


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Documentation for package ‘Sim.DiffProc’ version 2.9

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A B C 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-Dim 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 Kurtosis, Skewness, Moment and Confidence Bands
bconfint.bridgesde1d Simulation of 1-Dim Diffusion Bridge
bconfint.bridgesde2d Simulation of 2-Dim Diffusion Bridge
bconfint.bridgesde3d Simulation of 3-Dim Diffusion Bridge
bconfint.default Kurtosis, Skewness, Moment and Confidence Bands
bconfint.fptsde1d First Passage Time in 1-Dim SDE
bconfint.fptsde2d First Passage Time in 2-Dim SDE
bconfint.fptsde3d First Passage Time in 3-Dim SDE
bconfint.rsde1d Random Number Generators for 1-Dim SDE
bconfint.rsde2d Random Number Generators for 2-Dim SDE
bconfint.rsde3d Random Number Generators for 3-Dim SDE
bconfint.snssde1d Simulation of 1-Dim Stochastic Differential Equation
bconfint.snssde2d Simulation of 2-Dim Stochastic Differential Equation
bconfint.snssde3d Simulation of 3-Dim Stochastic Differential Equation
bconfint.st.int Stochastic Integrals
BIC.fitsde Maximum Pseudo-Likelihood Estimation of 1-Dim 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-Dim Diffusion Bridge
bridgesde1d.default Simulation of 1-Dim Diffusion Bridge
bridgesde2d Simulation of 2-Dim Diffusion Bridge
bridgesde2d.default Simulation of 2-Dim Diffusion Bridge
bridgesde3d Simulation of 3-Dim Diffusion Bridge
bridgesde3d.default Simulation of 3-Dim Diffusion Bridge

-- C --

coef.fitsde Maximum Pseudo-Likelihood Estimation of 1-Dim SDE
confint.fitsde Maximum Pseudo-Likelihood Estimation of 1-Dim SDE

-- F --

fitsde Maximum Pseudo-Likelihood Estimation of 1-Dim SDE
fitsde.default Maximum Pseudo-Likelihood Estimation of 1-Dim SDE
fptsde1d First Passage Time in 1-Dim SDE
fptsde1d.default First Passage Time in 1-Dim SDE
fptsde2d First Passage Time in 2-Dim SDE
fptsde2d.default First Passage Time in 2-Dim SDE
fptsde3d First Passage Time in 3-Dim SDE
fptsde3d.default First Passage Time in 3-Dim SDE

-- 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 Kurtosis, Skewness, Moment and Confidence Bands
kurtosis.bridgesde1d Simulation of 1-Dim Diffusion Bridge
kurtosis.bridgesde2d Simulation of 2-Dim Diffusion Bridge
kurtosis.bridgesde3d Simulation of 3-Dim Diffusion Bridge
kurtosis.default Kurtosis, Skewness, Moment and Confidence Bands
kurtosis.fptsde1d First Passage Time in 1-Dim SDE
kurtosis.fptsde2d First Passage Time in 2-Dim SDE
kurtosis.fptsde3d First Passage Time in 3-Dim SDE
kurtosis.rsde1d Random Number Generators for 1-Dim SDE
kurtosis.rsde2d Random Number Generators for 2-Dim SDE
kurtosis.rsde3d Random Number Generators for 3-Dim SDE
kurtosis.snssde1d Simulation of 1-Dim Stochastic Differential Equation
kurtosis.snssde2d Simulation of 2-Dim Stochastic Differential Equation
kurtosis.snssde3d Simulation of 3-Dim Stochastic Differential Equation
kurtosis.st.int Stochastic Integrals

-- L --

lines.bridgesde1d Simulation of 1-Dim Diffusion Bridge
lines.bridgesde2d Simulation of 2-Dim Diffusion Bridge
lines.bridgesde3d Simulation of 3-Dim Diffusion Bridge
lines.snssde1d Simulation of 1-Dim Stochastic Differential Equation
lines.snssde2d Simulation of 2-Dim Stochastic Differential Equation
lines.snssde3d Simulation of 3-Dim Stochastic Differential Equation
lines.st.int Stochastic Integrals
lines2d Plotting for Class SDE
lines2d.bridgesde2d Simulation of 2-Dim Diffusion Bridge
lines2d.default Plotting for Class SDE
lines2d.snssde2d Simulation of 2-Dim Stochastic Differential Equation
logLik.fitsde Maximum Pseudo-Likelihood Estimation of 1-Dim SDE

-- M --

mean.bridgesde1d Simulation of 1-Dim Diffusion Bridge
mean.bridgesde2d Simulation of 2-Dim Diffusion Bridge
mean.bridgesde3d Simulation of 3-Dim Diffusion Bridge
mean.fptsde1d First Passage Time in 1-Dim SDE
mean.fptsde2d First Passage Time in 2-Dim SDE
mean.fptsde3d First Passage Time in 3-Dim SDE
mean.rsde1d Random Number Generators for 1-Dim SDE
mean.rsde2d Random Number Generators for 2-Dim SDE
mean.rsde3d Random Number Generators for 3-Dim SDE
mean.snssde1d Simulation of 1-Dim Stochastic Differential Equation
mean.snssde2d Simulation of 2-Dim Stochastic Differential Equation
mean.snssde3d Simulation of 3-Dim Stochastic Differential Equation
mean.st.int Stochastic Integrals
median.bridgesde1d Simulation of 1-Dim Diffusion Bridge
median.bridgesde2d Simulation of 2-Dim Diffusion Bridge
median.bridgesde3d Simulation of 3-Dim Diffusion Bridge
median.fptsde1d First Passage Time in 1-Dim SDE
median.fptsde2d First Passage Time in 2-Dim SDE
median.fptsde3d First Passage Time in 3-Dim SDE
median.rsde1d Random Number Generators for 1-Dim SDE
median.rsde2d Random Number Generators for 2-Dim SDE
median.rsde3d Random Number Generators for 3-Dim SDE
median.snssde1d Simulation of 1-Dim Stochastic Differential Equation
median.snssde2d Simulation of 2-Dim Stochastic Differential Equation
median.snssde3d Simulation of 3-Dim Stochastic Differential Equation
median.st.int Stochastic Integrals
moment Kurtosis, Skewness, Moment and Confidence Bands
moment.bridgesde1d Simulation of 1-Dim Diffusion Bridge
moment.bridgesde2d Simulation of 2-Dim Diffusion Bridge
moment.bridgesde3d Simulation of 3-Dim Diffusion Bridge
moment.default Kurtosis, Skewness, Moment and Confidence Bands
moment.fptsde1d First Passage Time in 1-Dim SDE
moment.fptsde2d First Passage Time in 2-Dim SDE
moment.fptsde3d First Passage Time in 3-Dim SDE
moment.rsde1d Random Number Generators for 1-Dim SDE
moment.rsde2d Random Number Generators for 2-Dim SDE
moment.rsde3d Random Number Generators for 3-Dim SDE
moment.snssde1d Simulation of 1-Dim Stochastic Differential Equation
moment.snssde2d Simulation of 2-Dim Stochastic Differential Equation
moment.snssde3d Simulation of 3-Dim 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-Dim Diffusion Bridge
plot.bridgesde2d Simulation of 2-Dim Diffusion Bridge
plot.bridgesde3d Simulation of 3-Dim Diffusion Bridge
plot.fptsde1d First Passage Time in 1-Dim SDE
plot.fptsde2d First Passage Time in 2-Dim SDE
plot.fptsde3d First Passage Time in 3-Dim SDE
plot.rsde1d Random Number Generators for 1-Dim SDE
plot.rsde2d Random Number Generators for 2-Dim SDE
plot.rsde3d Random Number Generators for 3-Dim SDE
plot.snssde1d Simulation of 1-Dim Stochastic Differential Equation
plot.snssde2d Simulation of 2-Dim Stochastic Differential Equation
plot.snssde3d Simulation of 3-Dim Stochastic Differential Equation
plot.st.int Stochastic Integrals
plot2d Plotting for Class SDE
plot2d.bridgesde2d Simulation of 2-Dim Diffusion Bridge
plot2d.default Plotting for Class SDE
plot2d.snssde2d Simulation of 2-Dim Stochastic Differential Equation
plot3D Plotting for Class SDE
plot3D.bridgesde3d Simulation of 3-Dim Diffusion Bridge
plot3D.default Plotting for Class SDE
plot3D.snssde3d Simulation of 3-Dim Stochastic Differential Equation
points.bridgesde1d Simulation of 1-Dim Diffusion Bridge
points.bridgesde2d Simulation of 2-Dim Diffusion Bridge
points.bridgesde3d Simulation of 3-Dim Diffusion Bridge
points.snssde1d Simulation of 1-Dim Stochastic Differential Equation
points.snssde2d Simulation of 2-Dim Stochastic Differential Equation
points.snssde3d Simulation of 3-Dim Stochastic Differential Equation
points.st.int Stochastic Integrals
points2d Plotting for Class SDE
points2d.bridgesde2d Simulation of 2-Dim Diffusion Bridge
points2d.default Plotting for Class SDE
points2d.snssde2d Simulation of 2-Dim Stochastic Differential Equation
print.bridgesde1d Simulation of 1-Dim Diffusion Bridge
print.bridgesde2d Simulation of 2-Dim Diffusion Bridge
print.bridgesde3d Simulation of 3-Dim Diffusion Bridge
print.fitsde Maximum Pseudo-Likelihood Estimation of 1-Dim SDE
print.snssde1d Simulation of 1-Dim Stochastic Differential Equation
print.snssde2d Simulation of 2-Dim Stochastic Differential Equation
print.snssde3d Simulation of 3-Dim Stochastic Differential Equation
print.st.int Stochastic Integrals

-- Q --

quantile.bridgesde1d Simulation of 1-Dim Diffusion Bridge
quantile.bridgesde2d Simulation of 2-Dim Diffusion Bridge
quantile.bridgesde3d Simulation of 3-Dim Diffusion Bridge
quantile.fptsde1d First Passage Time in 1-Dim SDE
quantile.fptsde2d First Passage Time in 2-Dim SDE
quantile.fptsde3d First Passage Time in 3-Dim SDE
quantile.rsde1d Random Number Generators for 1-Dim SDE
quantile.rsde2d Random Number Generators for 2-Dim SDE
quantile.rsde3d Random Number Generators for 3-Dim SDE
quantile.snssde1d Simulation of 1-Dim Stochastic Differential Equation
quantile.snssde2d Simulation of 2-Dim Stochastic Differential Equation
quantile.snssde3d Simulation of 3-Dim Stochastic Differential Equation
quantile.st.int Stochastic Integrals

-- R --

rsde1d Random Number Generators for 1-Dim SDE
rsde1d.default Random Number Generators for 1-Dim SDE
rsde2d Random Number Generators for 2-Dim SDE
rsde2d.default Random Number Generators for 2-Dim SDE
rsde3d Random Number Generators for 3-Dim SDE
rsde3d.default Random Number Generators for 3-Dim SDE

-- S --

Sim.DiffProc Simulation of Diffusion Processes
skewness Kurtosis, Skewness, Moment and Confidence Bands
skewness.bridgesde1d Simulation of 1-Dim Diffusion Bridge
skewness.bridgesde2d Simulation of 2-Dim Diffusion Bridge
skewness.bridgesde3d Simulation of 3-Dim Diffusion Bridge
skewness.default Kurtosis, Skewness, Moment and Confidence Bands
skewness.fptsde1d First Passage Time in 1-Dim SDE
skewness.fptsde2d First Passage Time in 2-Dim SDE
skewness.fptsde3d First Passage Time in 3-Dim SDE
skewness.rsde1d Random Number Generators for 1-Dim SDE
skewness.rsde2d Random Number Generators for 2-Dim SDE
skewness.rsde3d Random Number Generators for 3-Dim SDE
skewness.snssde1d Simulation of 1-Dim Stochastic Differential Equation
skewness.snssde2d Simulation of 2-Dim Stochastic Differential Equation
skewness.snssde3d Simulation of 3-Dim Stochastic Differential Equation
skewness.st.int Stochastic Integrals
snssde1d Simulation of 1-Dim Stochastic Differential Equation
snssde1d.default Simulation of 1-Dim Stochastic Differential Equation
snssde2d Simulation of 2-Dim Stochastic Differential Equation
snssde2d.default Simulation of 2-Dim Stochastic Differential Equation
snssde3d Simulation of 3-Dim Stochastic Differential Equation
snssde3d.default Simulation of 3-Dim Stochastic Differential Equation
st.int Stochastic Integrals
st.int.default Stochastic Integrals
summary.fitsde Maximum Pseudo-Likelihood Estimation of 1-Dim SDE
summary.fptsde1d First Passage Time in 1-Dim SDE
summary.fptsde2d First Passage Time in 2-Dim SDE
summary.fptsde3d First Passage Time in 3-Dim SDE
summary.rsde1d Random Number Generators for 1-Dim SDE
summary.rsde2d Random Number Generators for 2-Dim SDE
summary.rsde3d Random Number Generators for 3-Dim SDE
summary.snssde1d Simulation of 1-Dim Stochastic Differential Equation
summary.snssde2d Simulation of 2-Dim Stochastic Differential Equation
summary.snssde3d Simulation of 3-Dim Stochastic Differential Equation
summary.st.int Stochastic Integrals

-- T --

time.bridgesde1d Simulation of 1-Dim Diffusion Bridge
time.bridgesde2d Simulation of 2-Dim Diffusion Bridge
time.bridgesde3d Simulation of 3-Dim Diffusion Bridge
time.snssde1d Simulation of 1-Dim Stochastic Differential Equation
time.snssde2d Simulation of 2-Dim Stochastic Differential Equation
time.snssde3d Simulation of 3-Dim Stochastic Differential Equation
time.st.int Stochastic Integrals

-- V --

vcov.fitsde Maximum Pseudo-Likelihood Estimation of 1-Dim SDE