Simulation and Inference for Stochastic Differential Equations

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Documentation for package `sde' version 1.8

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BBridge Brownian motion, Brownian Bridge and Geometric Brownian motion simulators
BM Brownian motion, Brownian Bridge and Geometric Brownian motion simulators
dcBS Black-Scholes-Merton or Geometric Brownian Motion process conditional law
dcCIR Conditional law of the Cox-Ingersoll-Ross process
dcElerian Approximated conditional laws of a diffusion process
dcEuler Approximated conditional laws of a diffusion process
dcKessler Approximated conditional laws of a diffusion process
dcOU Ornstein-Uhlenbeck or Vasicek process conditional law
dcOzaki Approximated conditional laws of a diffusion process
dcShoji Approximated conditional laws of a diffusion process
dsCIR Cox-Ingersoll-Ross process stationary law
dsOU Ornstein-Uhlenbeck or Vasicek process stationary law
GBM Brownian motion, Brownian Bridge and Geometric Brownian motion simulators
pcBS Black-Scholes-Merton or Geometric Brownian Motion process conditional law
pcCIR Conditional law of the Cox-Ingersoll-Ross process
pcOU Ornstein-Uhlenbeck or Vasicek process conditional law
psCIR Cox-Ingersoll-Ross process stationary law
psOU Ornstein-Uhlenbeck or Vasicek process stationary law
qcBS Black-Scholes-Merton or Geometric Brownian Motion process conditional law
qcCIR Conditional law of the Cox-Ingersoll-Ross process
qcOU Ornstein-Uhlenbeck or Vasicek process conditional law
qsCIR Cox-Ingersoll-Ross process stationary law
qsOU Ornstein-Uhlenbeck or Vasicek process stationary law
rcBS Black-Scholes-Merton or Geometric Brownian Motion process conditional law
rcCIR Conditional law of the Cox-Ingersoll-Ross process
rcOU Ornstein-Uhlenbeck or Vasicek process conditional law
rsCIR Cox-Ingersoll-Ross process stationary law
rsOU Ornstein-Uhlenbeck or Vasicek process stationary law
sde.sim Simulation of Stochastic Differential Equation