[R] simulation and solution to SDE with jumps and point processes?

From: Michael <comtech.usa_at_gmail.com>
Date: Sat, 19 Apr 2008 19:15:05 -0700


Hi all,

I am looking for toolboxes that can handle simulation and/or solution of SDE with jumps, say levy processes, jump diffusion processes, etc. Could anybody give me some pointers to really good ones in R, (or Maple or Matlab)? I did google search myself and haven't found much...I would also like to simulate point processes with complex intensities, such as those with self-feedback stochastic intensities, such as those used in neural spike modeling and decoding... Please point me to some really good packages and popular ones so I can discuss with fellow users more conveniently...

Thanks!



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