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Sim.DiffProc: A Package for Simulation of Diffusion Processes in R

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Author Info

  • Kamal Boukhetala

    ()
    (Faculté des Mathématiques - Université des Sciences et de la Technologie Houari Boumediène)

  • Arsalane Guidoum

    ()
    (Department of Probabilities & Statistics - Université des Sciences et de la Technologie Houari Boumediène)

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    Abstract

    The Sim.DiProc package provides a simulation of diffusion processes and the differences methods of simulation of solutions for stochastic differential equations (SDEs) of the Ito's type, in financial and actuarial modeling and other areas of applications, for example the stochastic modeling and simulation of pollutant dispersion in shallow water using the attractive center, and the model of two diffusions in attraction, which can modeling the behavior of two insects, one attracts the other. The simulation of the processes of diffusion, through stochastic differential equations to allow simulated a random variable tc " first passage time" of the particle through a sphere of radius c, two methods are used in the estimation problem of the probability density function of the random variable tc: the histograms and the kernel methods. The R package Sim.DiffProc is introduced, providing a simulation and estimation for the stationary distribution of the stochastic process that describes the equilibrium of some dynamics.

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    Bibliographic Info

    Paper provided by HAL in its series Working Papers with number hal-00629841.

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    Date of creation: 25 May 2011
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    Handle: RePEc:hal:wpaper:hal-00629841

    Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00629841/en/
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    Related research

    Keywords: Attractive model; diffusion process; simulations; stochastic differential equation; stochastic modeling; R language.;

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