Simulation of Diffusion Processes


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Documentation for package ‘Sim.DiffProc’ version 2.0

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A B C D F G H I J K M O P R S T W

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Sim.DiffProc-package Simulation of Diffusion Processes.

-- A --

ABM Creating Arithmetic Brownian Motion Model
ABMF Creating Flow of The Arithmetic Brownian Motion Model
Ajdbeta Adjustment By Beta Distribution
Ajdchisq Adjustment By Chi-Squared Distribution
Ajdexp Adjustment By Exponential Distribution
Ajdf Adjustment By F Distribution
Ajdgamma Adjustment By Gamma Distribution
Ajdlognorm Adjustment By Log Normal Distribution
Ajdnorm Adjustment By Normal Distribution
Ajdt Adjustment By Student t Distribution
Ajdweibull Adjustment By Weibull Distribution
AnaSimFPT Simulation The First Passage Time FPT For A Simulated Diffusion Process
AnaSimX Simulation M-Samples of Random Variable X(v[t]) For A Simulated Diffusion Process
Asys Evolution a Telegraphic Process in Time

-- B --

BB Creating Brownian Bridge Model
BBF Creating Flow of Brownian Bridge Model
Besselp Creating Bessel process (by Milstein Scheme)
BMcov Empirical Covariance for Brownian Motion
BMinf Brownian Motion Property
BMIrt Brownian Motion Property (Invariance by reversal of time)
BMIto1 Properties of the stochastic integral and Ito Process [1]
BMIto2 Properties of the stochastic integral and Ito Process [2]
BMItoC Properties of the stochastic integral and Ito Process [3]
BMItoP Properties of the stochastic integral and Ito Process [4]
BMItoT Properties of the stochastic integral and Ito Process [5]
BMN Creating Brownian Motion Model (by the Normal Distribution)
BMN2D Simulation Two-Dimensional Brownian Motion (by the Normal Distribution)
BMN3D Simulation Three-Dimensional Brownian Motion (by the Normal Distribution)
BMNF Creating Flow of Brownian Motion (by the Normal Distribution)
BMP Brownian Motion Property (trajectories brownian between function (+/-)2*sqrt(C*t))
BMRW Creating Brownian Motion Model (by a Random Walk)
BMRW2D Simulation Two-Dimensional Brownian Motion (by a Random Walk)
BMRW3D Simulation Three-Dimensional Brownian Motion (by a Random Walk)
BMRWF Creating Flow of Brownian Motion (by a Random Walk)
BMscal Brownian Motion Property (Invariance by scaling)
BMStra Stratonovitch Integral [1]
BMStraC Stratonovitch Integral [2]
BMStraP Stratonovitch Integral [3]
BMStraT Stratonovitch Integral [4]

-- C --

CEV Creating Constant Elasticity of Variance (CEV) Models (by Milstein Scheme)
CIR Creating Cox-Ingersoll-Ross (CIR) Square Root Diffusion Models (by Milstein Scheme)
CIRhy Creating The modified CIR and hyperbolic Process (by Milstein Scheme)
CKLS Creating The Chan-Karolyi-Longstaff-Sanders (CKLS) family of models (by Milstein Scheme)

-- D --

DATA1 Observation of Ornstein-Uhlenbeck Process
DATA2 Observation of Geometric Brownian Motion Model
DATA3 Observation of Arithmetic Brownian Motion
diffBridge Creating Diffusion Bridge Models (by Euler Scheme)
DWP Creating Double-Well Potential Model (by Milstein Scheme)

-- F --

fctgeneral Adjustment the Empirical Distribution of Random Variable X
fctrep_Meth Calculating the Empirical Distribution of Random Variable X

-- G --

GBM Creating Geometric Brownian Motion (GBM) Models
GBMF Creating Flow of Geometric Brownian Motion Models

-- H --

hist_general Adjustment the Density of Random Variable X by Histograms Methods
hist_meth Histograms of Random Variable X
HWV Creating Hull-White/Vasicek (HWV) Gaussian Diffusion Models
HWVF Creating Flow of Hull-White/Vasicek (HWV) Gaussian Diffusion Models
Hyproc Creating The Hyperbolic Process (by Milstein Scheme)
Hyprocg Creating The General Hyperbolic Diffusion (by Milstein Scheme)

-- I --

INFSR Creating Ahn and Gao model or Inverse of Feller Square Root Models (by Milstein Scheme)
ItovsStra Properties of the stochastic integral and Ito Process [1]
ItovsStraP Properties of the stochastic integral and Ito Process [4]
ItovsStraT Properties of the stochastic integral and Ito Process [5]

-- J --

JDP Creating The Jacobi Diffusion Process (by Milstein Scheme)

-- K --

Kern_general Adjustment the Density of Random Variable by Kernel Methods
Kern_meth Kernel Density of Random Variable X

-- M --

MartExp Creating The Exponential Martingales Process

-- O --

OU Creating Ornstein-Uhlenbeck Process
OUF Creating Flow of Ornstein-Uhlenbeck Process

-- P --

PDP Creating Pearson Diffusions Process (by Milstein Scheme)
PEABM Parametric Estimation of Arithmetic Brownian Motion(Exact likelihood inference)
PEBS Parametric Estimation of Model Black-Scholes (Exact likelihood inference)
PEOU Parametric Estimation of Ornstein-Uhlenbeck Model (Exact likelihood inference)
PEOUexp Parametric Estimation of Ornstein-Uhlenbeck Model (Explicit Estimators)
PEOUG Parametric Estimation of Hull-White/Vasicek (HWV) Gaussian Diffusion Models(Exact likelihood inference)
PredCorr Predictor-Corrector Method For One-Dimensional SDE
PredCorr2D Predictor-Corrector Method For Two-Dimensional SDE

-- R --

RadialP2D_1 Two-Dimensional Attractive Model Model(S = 1,Sigma)
RadialP2D_1PC Two-Dimensional Attractive Model in Polar Coordinates Model(S = 1,Sigma)
RadialP2D_2 Two-Dimensional Attractive Model Model(S >= 2,Sigma)
RadialP2D_2PC Two-Dimensional Attractive Model in Polar Coordinates Model(S >= 2,Sigma)
RadialP3D_1 Three-Dimensional Attractive Model Model(S = 1,Sigma)
RadialP3D_2 Three-Dimensional Attractive Model Model(S >= 2,Sigma)
RadialP_1 Radial Process Model(S = 1,Sigma) Or Attractive Model
RadialP_2 Radial Process Model(S >= 2,Sigma) Or Attractive Model
ROU Creating Radial Ornstein-Uhlenbeck Process (by Milstein Scheme)

-- S --

showData Display a Data Frame in a Tk Text Widget
Sim.DiffProc Simulation of Diffusion Processes.
snssde Numerical Solution of One-Dimensional SDE
snssde2D Numerical Solution of Two-Dimensional SDE
SRW Creating Random Walk
Stgamma Creating Stochastic Process The Gamma Distribution
Stst Creating Stochastic Process The Student Distribution

-- T --

Telegproc Realization a Telegraphic Process
test_ks_dbeta Kolmogorov-Smirnov Tests (Beta Distribution)
test_ks_dchisq Kolmogorov-Smirnov Tests (Chi-Squared Distribution)
test_ks_dexp Kolmogorov-Smirnov Tests (Exponential Distribution)
test_ks_df Kolmogorov-Smirnov Tests (F Distribution)
test_ks_dgamma Kolmogorov-Smirnov Tests (Gamma Distribution)
test_ks_dlognorm Kolmogorov-Smirnov Tests (Log Normal Distribution)
test_ks_dnorm Kolmogorov-Smirnov Tests (Normal Distribution)
test_ks_dt Kolmogorov-Smirnov Tests (Student t Distribution)
test_ks_dweibull Kolmogorov-Smirnov Tests (Weibull Distribution)
tho_02diff Simulation The First Passage Time FPT For Attractive Model for Two-Diffusion Processes V(1) and V(2)
tho_M1 Simulation The First Passage Time FPT For Attractive Model(S = 1,Sigma)
tho_M2 Simulation The First Passage Time FPT For Attractive Model(S >= 2,Sigma)
TowDiffAtra2D Two-Dimensional Attractive Model for Two-Diffusion Processes V(1) and V(2)
TowDiffAtra3D Three-Dimensional Attractive Model for Two-Diffusion Processes V(1) and V(2)

-- W --

WNG Creating White Noise Gaussian