Description Usage Arguments Details Value Examples
Simulation of p-dimensional driftless SDE with constant diffusion, conditional on end points: dV_t=Sigma dW_t, conditional on V_0 and V_T. This function makes a call to C++ and it is therefore relatively fast.
1 |
start |
Numerical vector of length p: Starting point for the process |
end |
Numerical vector of length p: Ending point for the process |
n |
Positive integer: Number of time points where the process is simulated |
Sigma |
p*p matrix: The diffusion matrix for the process |
T |
Positive number: End of time interval. |
t0 |
Non negative number, defaults to 0. Start of time interval. |
seed |
Integer, defaults to 1. Specifies seed for random generator. If <=0 it is set randomly. |
An n*p matrix with columns representing simulations for each coordinate.
An n*p matrix
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