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StochSimR  

Stochastic Process Simulation Engine
View on CRAN: Click here


Download and install StochSimR package within the R console
Install from CRAN:
install.packages("StochSimR")

Install from Github:
library("remotes")
install_github("cran/StochSimR")

Install by package version:
library("remotes")
install_version("StochSimR", "1.1.0")



Attach the package and use:
library("StochSimR")
Maintained by
Ayush Kundu
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-06-01
Latest Update: 2026-06-01
Description:
A modular simulation engine for a wide range of stochastic processes. Provides exact and approximate simulation methods for Poisson processes (homogeneous and inhomogeneous), Brownian motion (standard, drifted, and bridge), discrete- and continuous-time Markov chains, birth-death processes, the Yule pure-birth process, infinitesimal generator matrix utilities, Markovian queuing systems (M/M/1, M/M/c, M/M/c/K) with exact steady-state statistics, Levy processes (gamma, normal inverse Gaussian, variance-gamma, alpha-stable), Merton jump-diffusion models, Hawkes self-exciting processes, geometric Brownian motion, and Ornstein-Uhlenbeck mean-reverting diffusions. Includes variance reduction techniques (antithetic variates, control variates, importance sampling, stratified sampling), parallel simulation via the 'future' framework, rare-event simulation (cross-entropy and multilevel splitting), path visualisation, and summary statistics. Methods are based on Glasserman (2003) <doi:10.1007/978-0-387-21617-1>, Asmussen & Glynn (2007) <doi:10.1007/978-0-387-69033-9>, Norris (1997) <doi:10.1017/CBO9780511810633>, and Kleinrock (1975, ISBN:0471491101).
How to cite:
Ayush Kundu (2026). StochSimR: Stochastic Process Simulation Engine. R package version 1.1.0, https://cran.r-project.org/web/packages/StochSimR. Accessed 27 Jun. 2026.
Previous versions and publish date:
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Complete documentation for StochSimR
Functions, R codes and Examples using the StochSimR R package
Full StochSimR package functions and examples
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