topic Re: How to simulate diffusion process with certain line pattern?! in Mathematical Optimization, Discrete-Event Simulation, and OR

How to simulate diffusion process with certain line pattern?!

hellohere — Thu, 23 Oct 2025 17:16:55 GMT

I have the time-series information, [time=ind, y=index]. Dataset attached.

How to similuate diffusiton process with the y/index pattern[any para is fine as long as diffusion]?

Thanks

Re: How to simulate diffusion process with certain line pattern?!

sbxkoenk — Thu, 23 Oct 2025 23:00:38 GMT

I don't think SAS has diffusion models as a standard feature of the (econometrics part of the) software.

Diffusion models are used for time series forecasting ... mainly when the time series (before forecasting) is short.

You can estimate "Jump Diffusion" though:
https://support.sas.com/resources/papers/proceedings20/5079-2020.pdf

Not sure why you have asked this question in the "Operations Research / Management Science" - board , and not in the "econometrics / forecasting" - board.

Ciao,

Koen

Re: How to simulate diffusion process with certain line pattern?!

sbxkoenk — Thu, 23 Oct 2025 23:08:00 GMT

A Wiener process (or Weiner process) is a special case of a diffusion process.

Here's how you simulate a Wiener process :
https://communities.sas.com/t5/SAS-IML-Software-and-Matrix/How-to-simulate-a-Weiner-process-in-SAS/td-p/203411

Ciao,

Koen

Re: How to simulate diffusion process with certain line pattern?!

hellohere — Thu, 23 Oct 2025 23:40:37 GMT

Ok. I Post there.

Re: How to simulate diffusion process with certain line pattern?!

Rick_SAS — Fri, 24 Oct 2025 14:31:39 GMT

The new thread is at
https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/How-to-simulate-diffusion-process-with-certain-line-pattern/m-p/977694