R: Simulation of Diffusion Processes

# Simulation of Diffusion Processes

## Documentation for package ‘Sim.DiffProc’ version 5.0

- DESCRIPTION file
- User guides, package vignettes and other documentation
- Code demos. Use demo() to run them.
- Package NEWS
- Package README

## Help Pages

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-D 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 | Monte-Carlo statistics of SDE's
bconfint.bridgesde1d | Simulation of 1-D Bridge SDE
bconfint.bridgesde2d | Simulation of 2-D Bridge SDE's
bconfint.bridgesde3d | Simulation of 3-D Bridge SDE's
bconfint.default | Monte-Carlo statistics of SDE's
bconfint.snssde1d | Simulation of 1-D Stochastic Differential Equation
bconfint.snssde2d | Simulation of 2-D Stochastic Differential Equation
bconfint.snssde3d | Simulation of 3-D Stochastic Differential Equation
bconfint.st.int | Stochastic Integrals
BIC.fitsde | Maximum Pseudo-Likelihood Estimation of 1-D 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-D Bridge SDE
bridgesde1d.default | Simulation of 1-D Bridge SDE
bridgesde2d | Simulation of 2-D Bridge SDE's
bridgesde2d.default | Simulation of 2-D Bridge SDE's
bridgesde3d | Simulation of 3-D Bridge SDE's
bridgesde3d.default | Simulation of 3-D Bridge SDE's

## -- C --

coef.fitsde | Maximum Pseudo-Likelihood Estimation of 1-D SDE
confint.fitsde | Maximum Pseudo-Likelihood Estimation of 1-D SDE
cv | Monte-Carlo statistics of SDE's
cv.bridgesde1d | Simulation of 1-D Bridge SDE
cv.bridgesde2d | Simulation of 2-D Bridge SDE's
cv.bridgesde3d | Simulation of 3-D Bridge SDE's
cv.default | Monte-Carlo statistics of SDE's
cv.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE
cv.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's
cv.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's
cv.snssde1d | Simulation of 1-D Stochastic Differential Equation
cv.snssde2d | Simulation of 2-D Stochastic Differential Equation
cv.snssde3d | Simulation of 3-D Stochastic Differential Equation
cv.st.int | Stochastic Integrals

## -- D --

dfptsde1d | Approximate densities and random generation for first passage time in 1-D SDE
dfptsde1d.default | Approximate densities and random generation for first passage time in 1-D SDE
dfptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's
dfptsde2d.default | Approximate densities and random generation for first passage time in 2-D SDE's
dfptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's
dfptsde3d.default | Approximate densities and random generation for first passage time in 3-D SDE's
dsde1d | Approximate transitional densities and random generation for 1-D SDE
dsde1d.default | Approximate transitional densities and random generation for 1-D SDE
dsde2d | Approximate transitional densities and random generation for 2-D SDE's
dsde2d.default | Approximate transitional densities and random generation for 2-D SDE's
dsde3d | Approximate transitional densities and random generation for 3-D SDE's
dsde3d.default | Approximate transitional densities and random generation for 3-D SDE's

## -- F --

fitsde | Maximum Pseudo-Likelihood Estimation of 1-D SDE
fitsde.default | Maximum Pseudo-Likelihood Estimation of 1-D SDE
fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE
fptsde1d.default | Approximate densities and random generation for first passage time in 1-D SDE
fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's
fptsde2d.default | Approximate densities and random generation for first passage time in 2-D SDE's
fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's
fptsde3d.default | Approximate densities and random generation for first passage time in 3-D SDE's

## -- 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 | Monte-Carlo statistics of SDE's
kurtosis.bridgesde1d | Simulation of 1-D Bridge SDE
kurtosis.bridgesde2d | Simulation of 2-D Bridge SDE's
kurtosis.bridgesde3d | Simulation of 3-D Bridge SDE's
kurtosis.default | Monte-Carlo statistics of SDE's
kurtosis.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE
kurtosis.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's
kurtosis.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's
kurtosis.snssde1d | Simulation of 1-D Stochastic Differential Equation
kurtosis.snssde2d | Simulation of 2-D Stochastic Differential Equation
kurtosis.snssde3d | Simulation of 3-D Stochastic Differential Equation
kurtosis.st.int | Stochastic Integrals

## -- L --

lines.bridgesde1d | Simulation of 1-D Bridge SDE
lines.bridgesde2d | Simulation of 2-D Bridge SDE's
lines.bridgesde3d | Simulation of 3-D Bridge SDE's
lines.snssde1d | Simulation of 1-D Stochastic Differential Equation
lines.snssde2d | Simulation of 2-D Stochastic Differential Equation
lines.snssde3d | Simulation of 3-D Stochastic Differential Equation
lines.st.int | Stochastic Integrals
lines2d | Plotting for Class SDE
lines2d.bridgesde2d | Simulation of 2-D Bridge SDE's
lines2d.default | Plotting for Class SDE
lines2d.snssde2d | Simulation of 2-D Stochastic Differential Equation
logLik.fitsde | Maximum Pseudo-Likelihood Estimation of 1-D SDE

## -- M --

max.bridgesde1d | Simulation of 1-D Bridge SDE
max.bridgesde2d | Simulation of 2-D Bridge SDE's
max.bridgesde3d | Simulation of 3-D Bridge SDE's
max.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE
max.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's
max.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's
max.snssde1d | Simulation of 1-D Stochastic Differential Equation
max.snssde2d | Simulation of 2-D Stochastic Differential Equation
max.snssde3d | Simulation of 3-D Stochastic Differential Equation
max.st.int | Stochastic Integrals
MCM.sde | Parallel Monte-Carlo Methods for SDE's
MCM.sde.default | Parallel Monte-Carlo Methods for SDE's
mean.bridgesde1d | Simulation of 1-D Bridge SDE
mean.bridgesde2d | Simulation of 2-D Bridge SDE's
mean.bridgesde3d | Simulation of 3-D Bridge SDE's
mean.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE
mean.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's
mean.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's
mean.snssde1d | Simulation of 1-D Stochastic Differential Equation
mean.snssde2d | Simulation of 2-D Stochastic Differential Equation
mean.snssde3d | Simulation of 3-D Stochastic Differential Equation
mean.st.int | Stochastic Integrals
Median | Monte-Carlo statistics of SDE's
Median.bridgesde1d | Simulation of 1-D Bridge SDE
Median.bridgesde2d | Simulation of 2-D Bridge SDE's
Median.bridgesde3d | Simulation of 3-D Bridge SDE's
Median.default | Monte-Carlo statistics of SDE's
Median.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE
Median.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's
Median.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's
Median.snssde1d | Simulation of 1-D Stochastic Differential Equation
Median.snssde2d | Simulation of 2-D Stochastic Differential Equation
Median.snssde3d | Simulation of 3-D Stochastic Differential Equation
Median.st.int | Stochastic Integrals
MEM.sde | Moment Equations Methods for SDE's
MEM.sde.default | Moment Equations Methods for SDE's
min.bridgesde1d | Simulation of 1-D Bridge SDE
min.bridgesde2d | Simulation of 2-D Bridge SDE's
min.bridgesde3d | Simulation of 3-D Bridge SDE's
min.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE
min.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's
min.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's
min.snssde1d | Simulation of 1-D Stochastic Differential Equation
min.snssde2d | Simulation of 2-D Stochastic Differential Equation
min.snssde3d | Simulation of 3-D Stochastic Differential Equation
min.st.int | Stochastic Integrals
Mode | Monte-Carlo statistics of SDE's
Mode.bridgesde1d | Simulation of 1-D Bridge SDE
Mode.bridgesde2d | Simulation of 2-D Bridge SDE's
Mode.bridgesde3d | Simulation of 3-D Bridge SDE's
Mode.default | Monte-Carlo statistics of SDE's
Mode.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE
Mode.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's
Mode.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's
Mode.snssde1d | Simulation of 1-D Stochastic Differential Equation
Mode.snssde2d | Simulation of 2-D Stochastic Differential Equation
Mode.snssde3d | Simulation of 3-D Stochastic Differential Equation
Mode.st.int | Stochastic Integrals
moment | Monte-Carlo statistics of SDE's
moment.bridgesde1d | Simulation of 1-D Bridge SDE
moment.bridgesde2d | Simulation of 2-D Bridge SDE's
moment.bridgesde3d | Simulation of 3-D Bridge SDE's
moment.default | Monte-Carlo statistics of SDE's
moment.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE
moment.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's
moment.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's
moment.snssde1d | Simulation of 1-D Stochastic Differential Equation
moment.snssde2d | Simulation of 2-D Stochastic Differential Equation
moment.snssde3d | Simulation of 3-D 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-D Bridge SDE
plot.bridgesde2d | Simulation of 2-D Bridge SDE's
plot.bridgesde3d | Simulation of 3-D Bridge SDE's
plot.dfptsde1d | Approximate densities and random generation for first passage time in 1-D SDE
plot.dfptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's
plot.dfptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's
plot.dsde1d | Approximate transitional densities and random generation for 1-D SDE
plot.dsde2d | Approximate transitional densities and random generation for 2-D SDE's
plot.dsde3d | Approximate transitional densities and random generation for 3-D SDE's
plot.MCM.sde | Parallel Monte-Carlo Methods for SDE's
plot.snssde1d | Simulation of 1-D Stochastic Differential Equation
plot.snssde2d | Simulation of 2-D Stochastic Differential Equation
plot.snssde3d | Simulation of 3-D Stochastic Differential Equation
plot.st.int | Stochastic Integrals
plot2d | Plotting for Class SDE
plot2d.bridgesde2d | Simulation of 2-D Bridge SDE's
plot2d.default | Plotting for Class SDE
plot2d.snssde2d | Simulation of 2-D Stochastic Differential Equation
plot3D | Plotting for Class SDE
plot3D.bridgesde3d | Simulation of 3-D Bridge SDE's
plot3D.default | Plotting for Class SDE
plot3D.snssde3d | Simulation of 3-D Stochastic Differential Equation
points.bridgesde1d | Simulation of 1-D Bridge SDE
points.bridgesde2d | Simulation of 2-D Bridge SDE's
points.bridgesde3d | Simulation of 3-D Bridge SDE's
points.snssde1d | Simulation of 1-D Stochastic Differential Equation
points.snssde2d | Simulation of 2-D Stochastic Differential Equation
points.snssde3d | Simulation of 3-D Stochastic Differential Equation
points.st.int | Stochastic Integrals
points2d | Plotting for Class SDE
points2d.bridgesde2d | Simulation of 2-D Bridge SDE's
points2d.default | Plotting for Class SDE
points2d.snssde2d | Simulation of 2-D Stochastic Differential Equation
print.bridgesde1d | Simulation of 1-D Bridge SDE
print.bridgesde2d | Simulation of 2-D Bridge SDE's
print.bridgesde3d | Simulation of 3-D Bridge SDE's
print.dfptsde1d | Approximate densities and random generation for first passage time in 1-D SDE
print.dfptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's
print.dfptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's
print.dsde1d | Approximate transitional densities and random generation for 1-D SDE
print.dsde2d | Approximate transitional densities and random generation for 2-D SDE's
print.dsde3d | Approximate transitional densities and random generation for 3-D SDE's
print.fitsde | Maximum Pseudo-Likelihood Estimation of 1-D SDE
print.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE
print.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's
print.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's
print.MCM.sde | Parallel Monte-Carlo Methods for SDE's
print.MEM.sde | Moment Equations Methods for SDE's
print.snssde1d | Simulation of 1-D Stochastic Differential Equation
print.snssde2d | Simulation of 2-D Stochastic Differential Equation
print.snssde3d | Simulation of 3-D Stochastic Differential Equation
print.st.int | Stochastic Integrals

## -- Q --

quantile.bridgesde1d | Simulation of 1-D Bridge SDE
quantile.bridgesde2d | Simulation of 2-D Bridge SDE's
quantile.bridgesde3d | Simulation of 3-D Bridge SDE's
quantile.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE
quantile.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's
quantile.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's
quantile.snssde1d | Simulation of 1-D Stochastic Differential Equation
quantile.snssde2d | Simulation of 2-D Stochastic Differential Equation
quantile.snssde3d | Simulation of 3-D Stochastic Differential Equation
quantile.st.int | Stochastic Integrals

## -- R --

rsde1d | Approximate transitional densities and random generation for 1-D SDE
rsde1d.default | Approximate transitional densities and random generation for 1-D SDE
rsde2d | Approximate transitional densities and random generation for 2-D SDE's
rsde2d.default | Approximate transitional densities and random generation for 2-D SDE's
rsde3d | Approximate transitional densities and random generation for 3-D SDE's
rsde3d.default | Approximate transitional densities and random generation for 3-D SDE's

## -- S --

Sim.DiffProc | Simulation of Diffusion Processes
skewness | Monte-Carlo statistics of SDE's
skewness.bridgesde1d | Simulation of 1-D Bridge SDE
skewness.bridgesde2d | Simulation of 2-D Bridge SDE's
skewness.bridgesde3d | Simulation of 3-D Bridge SDE's
skewness.default | Monte-Carlo statistics of SDE's
skewness.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE
skewness.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's
skewness.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's
skewness.snssde1d | Simulation of 1-D Stochastic Differential Equation
skewness.snssde2d | Simulation of 2-D Stochastic Differential Equation
skewness.snssde3d | Simulation of 3-D Stochastic Differential Equation
skewness.st.int | Stochastic Integrals
snssde1d | Simulation of 1-D Stochastic Differential Equation
snssde1d.default | Simulation of 1-D Stochastic Differential Equation
snssde2d | Simulation of 2-D Stochastic Differential Equation
snssde2d.default | Simulation of 2-D Stochastic Differential Equation
snssde3d | Simulation of 3-D Stochastic Differential Equation
snssde3d.default | Simulation of 3-D Stochastic Differential Equation
st.int | Stochastic Integrals
st.int.default | Stochastic Integrals
summary.bridgesde1d | Simulation of 1-D Bridge SDE
summary.bridgesde2d | Simulation of 2-D Bridge SDE's
summary.bridgesde3d | Simulation of 3-D Bridge SDE's
summary.fitsde | Maximum Pseudo-Likelihood Estimation of 1-D SDE
summary.fptsde1d | Approximate densities and random generation for first passage time in 1-D SDE
summary.fptsde2d | Approximate densities and random generation for first passage time in 2-D SDE's
summary.fptsde3d | Approximate densities and random generation for first passage time in 3-D SDE's
summary.MEM.sde | Moment Equations Methods for SDE's
summary.snssde1d | Simulation of 1-D Stochastic Differential Equation
summary.snssde2d | Simulation of 2-D Stochastic Differential Equation
summary.snssde3d | Simulation of 3-D Stochastic Differential Equation
summary.st.int | Stochastic Integrals

## -- T --

TEX.sde | Converting Sim.DiffProc Objects to LaTeX
TEX.sde.default | Converting Sim.DiffProc Objects to LaTeX
time.bridgesde1d | Simulation of 1-D Bridge SDE
time.bridgesde2d | Simulation of 2-D Bridge SDE's
time.bridgesde3d | Simulation of 3-D Bridge SDE's
time.snssde1d | Simulation of 1-D Stochastic Differential Equation
time.snssde2d | Simulation of 2-D Stochastic Differential Equation
time.snssde3d | Simulation of 3-D Stochastic Differential Equation
time.st.int | Stochastic Integrals

## -- V --

vcov.fitsde | Maximum Pseudo-Likelihood Estimation of 1-D SDE