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

Michael comtech.usa at gmail.com
Sun Apr 20 04:15:05 CEST 2008

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...


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