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Description: It provides users with a wide range of tools to simulate, estimate, analyze, and visualize the dynamics of stochastic differential systems in both forms Ito and Stratonovich. Statistical analysis with parallel Monte Carlo and moment equations methods of SDE's <doi:10.18637/jss.v096.i02>. Enabled many searchers in different domains to use these equations to modeling practical problems in financial and actuarial modeling and other areas of application, e.g., modeling and simulate of first passage time problem in shallow water using the attractive center (Boukhetala K, 1996) ISBN:1-56252-342-2.
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Description: It provides users with a wide range of tools to simulate, estimate, analyze, and visualize the dynamics of stochastic differential systems in both forms Ito and Stratonovich. Statistical analysis with parallel Monte Carlo and moment equations methods of SDEs <doi:10.18637/jss.v096.i02>. Enabled many searchers in different domains to use these equations to modeling practical problems in financial and actuarial modeling and other areas of application, e.g., modeling and simulate of first passage time problem in shallow water using the attractive center (Boukhetala K, 1996) ISBN:1-56252-342-2.
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SimulationofDiffusionProcesses
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}
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\description{
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Itprovidesuserswithawiderangeoftoolstosimulate, estimate, analyze, andvisualizethedynamicsofstochasticdifferentialsystemsinbothformsItoandStratonovich.StatisticalanalysiswithparallelMonteCarloandmomentequationsmethodsofSDE's <doi:10.18637/jss.v096.i02>. Enabled many searchers in different domains to use these equations to modeling practical problems in financial and actuarial modeling and other areas of application, e.g., modeling and simulate of first passage time problem in shallow water using the attractive center (Boukhetala K, 1996) ISBN:1-56252-342-2.
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Itprovidesuserswithawiderangeoftoolstosimulate, estimate, analyze, andvisualizethedynamicsofstochasticdifferentialsystemsinbothformsItoandStratonovich.StatisticalanalysiswithparallelMonteCarloandmomentequationsmethodsofSDEs<doi:10.18637/jss.v096.i02>.Enabledmanysearchersindifferentdomainstousetheseequationstomodelingpracticalproblemsinfinancialandactuarialmodelingandotherareasofapplication, e.g., modelingandsimulateoffirstpassagetimeprobleminshallowwaterusingtheattractive center (BoukhetalaK, 1996) ISBN:1-56252-342-2.
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}
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\details{
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\tabular{ll}{
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A.C. Guidoum \email{[email protected]} and K. Boukhetala \email{[email protected]} (Dept. Probability and Statistics, USTHB, Algeria).\cr
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Please send comments, error reports, etc. to the author via the addresses email.
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}
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\section{Citation}{
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Guidoum AC, Boukhetala K (2020).
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"Performing Parallel Monte Carlo and Moment Equations Methods for Itô and Stratonovich Stochastic Differential Systems: R Package Sim.DiffProc".
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\emph{Journal of Statistical Software}, \bold{96}(2), 1--82. doi:10.18637/jss.v096.i02
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}
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\section{Licence}{
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This package and its documentation are usable under the terms of the "GNU General Public License", a copy of which is distributed with the package.
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}
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\references{
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GuidoumAC, Boukhetala K (2020).
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"Performing Parallel Monte Carlo and Moment Equations Methods for Itô and Stratonovich Stochastic Differential Systems: R Package Sim.DiffProc".
1. Brouste A, Fukasawa M, Hino H, Iacus SM, Kamatani K, Koike Y, Masuda H, Nomura R,Ogihara T, Shimuzu Y, Uchida M, Yoshida N (2014). The YUIMA Project: A ComputationalFramework for Simulation and Inference of Stochastic Differential Equations." Journal of Statistical Software, 57(4), 1-51. URL https://www.jstatsoft.org/v57/i04.
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2. Guidoum AC, Boukhetala K (2020). Sim.DiffProc: Simulation of Diffusion Processes. R package version 4.8, URL https://cran.r-project.org/package=Sim.DiffProc.
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2. Guidoum AC, Boukhetala K (2020). "Performing Parallel Monte Carlo and
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Moment Equations Methods for Itô and Stratonovich Stochastic
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Differential Systems: R Package Sim.DiffProc". Journal of Statistical Software, 96(2), 1--82. https://doi.org/10.18637/jss.v096.i02
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3. Iacus SM (2008). Simulation and Inference for Stochastic Differential Equations: With R Examples. Springer-Verlag, New York.
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