sdetools

R package containing tools for Stochastic Differential Equations

https://github.com/uffe-h-thygesen/sdetools

Science Score: 44.0%

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Repository

R package containing tools for Stochastic Differential Equations

Basic Info

Host: GitHub
Owner: Uffe-H-Thygesen
Language: R
Default Branch: main
Homepage: https://uffe-h-thygesen.github.io/SDEtools/
Size: 85.9 MB

Statistics

Stars: 4
Watchers: 1
Forks: 2
Open Issues: 0
Releases: 1

Created over 4 years ago · Last pushed about 1 year ago

Metadata Files

Readme Changelog Citation

SDEtools

SDEtools provides functions for analyzing models based on stochastic differential equations (SDE's). These analysis include simulation of sample paths, solving the Kolmogorov equations that govern transition probabilities, state estimation, and optimal control.

Installation

You can install the development version of SDEtools from GitHub with:

``` r

install.packages("devtools")

devtools::install_github("Uffe-H-Thygesen/SDEtools") ```

Owner

Name: Uffe Høgsbro Thygesen
Login: Uffe-H-Thygesen
Kind: user
Location: Lyngby, Denmark
Company: Technical University of Denmark

Website: https://www.dtu.dk/person/uffe-hoegsbro-thygesen?id=2493&entity=profile
Repositories: 1
Profile: https://github.com/Uffe-H-Thygesen

Associate professor: Applied math, stochastic processes, dynamic optimization, applications in life science and technology.

Citation (CITATION.cff)

# This CITATION.cff file was generated with cffinit.
# Visit https://bit.ly/cffinit to generate yours today!

cff-version: 1.2.0
title: SDEtools
message: 'R tools for stochastic differential equations '
type: software
authors:
  - given-names: Uffe Høgsbro
    family-names: Thygesen
    email: uhth@dtu.dk
    affiliation: DTU
    orcid: 'https://orcid.org/0000-0002-4311-6324'
identifiers:
  - type: doi
    value: 10.1201/9781003277569
    description: >-
      Textbook which uses the software and covers underlying
      theory
repository-code: 'https://github.com/Uffe-H-Thygesen/SDEtools'
url: 'https://uffe-h-thygesen.github.io/SDEtools/'
abstract: >-
  R package for numerical analysis of stochastic
  differential equations. Features: 


  . Simulation of Brownian motion

  . Solution of SDE's as initial vaiue problems by basic
  numerical methods

  . Discretization of generators for 1- and 2-D SDEs

  . Algorithms for state estimation 

  . Algorithms for optimal control (e.g., policy iteration) 

  . Analytical transition probabilities for some SDEs 
keywords:
  - Stochastic differential equation
  - Ito integration
  - Stratonovich integration
  - Finite-volume discretization of PDEs
  - Recursive state estimation (Hidden Markov Models)
  - Optimal control (policy iteration)
license: GPL-3.0+

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