Simulation of Diffusion Processes


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Documentation for package ‘Sim.DiffProc’ version 3.7

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A B C D 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.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

-- D --

dfptsde1d Density and random generation for first passage time in 1-Dim SDE
dfptsde1d.default Density and random generation for first passage time in 1-Dim SDE
dfptsde2d Density and random generation for first passage time in 2-Dim SDE's
dfptsde2d.default Density and random generation for first passage time in 2-Dim SDE's
dfptsde3d Density and random generation for first passage time in 3-Dim SDE's
dfptsde3d.default Density and random generation for first passage time in 3-Dim SDE's
dsde1d Density and random generation for conditional law of 1-Dim SDE
dsde1d.default Density and random generation for conditional law of 1-Dim SDE
dsde2d Density and random generation for conditional law of 2-Dim SDE's
dsde2d.default Density and random generation for conditional law of 2-Dim SDE's
dsde3d Density and random generation for conditional law of 3-Dim SDE's
dsde3d.default Density and random generation for conditional law of 3-Dim SDE's

-- F --

fitsde Maximum Pseudo-Likelihood Estimation of 1-Dim SDE
fitsde.default Maximum Pseudo-Likelihood Estimation of 1-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.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.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.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.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.dfptsde1d Density and random generation for first passage time in 1-Dim SDE
plot.dfptsde2d Density and random generation for first passage time in 2-Dim SDE's
plot.dfptsde3d Density and random generation for first passage time in 3-Dim SDE's
plot.dsde1d Density and random generation for conditional law of 1-Dim SDE
plot.dsde2d Density and random generation for conditional law of 2-Dim SDE's
plot.dsde3d Density and random generation for conditional law of 3-Dim SDE's
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.dfptsde1d Density and random generation for first passage time in 1-Dim SDE
print.dfptsde2d Density and random generation for first passage time in 2-Dim SDE's
print.dfptsde3d Density and random generation for first passage time in 3-Dim SDE's
print.dsde1d Density and random generation for conditional law of 1-Dim SDE
print.dsde2d Density and random generation for conditional law of 2-Dim SDE's
print.dsde3d Density and random generation for conditional law of 3-Dim SDE's
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.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 --

rfptsde1d Density and random generation for first passage time in 1-Dim SDE
rfptsde1d.default Density and random generation for first passage time in 1-Dim SDE
rfptsde2d Density and random generation for first passage time in 2-Dim SDE's
rfptsde2d.default Density and random generation for first passage time in 2-Dim SDE's
rfptsde3d Density and random generation for first passage time in 3-Dim SDE's
rfptsde3d.default Density and random generation for first passage time in 3-Dim SDE's
rsde1d Density and random generation for conditional law of 1-Dim SDE
rsde1d.default Density and random generation for conditional law of 1-Dim SDE
rsde2d Density and random generation for conditional law of 2-Dim SDE's
rsde2d.default Density and random generation for conditional law of 2-Dim SDE's
rsde3d Density and random generation for conditional law of 3-Dim SDE's
rsde3d.default Density and random generation for conditional law of 3-Dim SDE's

-- 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.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.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