Bbridge: Simulation of Brownian bridge

In Rmfrac: Simulation and Statistical Analysis of Multifractional Processes

Simulation of Brownian bridge

Description

This function simulates a realisation of the Brownian bridge over the time interval [0,t_end] which has the initial value x_start and terminates at x_end with N time steps.

Usage

Bbridge(x_end, t_end, x_start = 0, N = 1000, plot = FALSE)

Arguments

x_end	Value of the process at the terminating time point.
t_end	Terminal time point.
x_start	Value of the process at the initial time point.
N	Number of time steps on the interval [0,t_end]. Default set to 1000.
plot	Logical: If TRUE, the realisation of the Brownian bridge is plotted in interactive sessions.

Value

A data frame where the first column is t and second column is simulated values of the realisation of Brownian bridge.

References

Bianchi, S., Frezza, M., Pianese, A., Palazzo, A.M. (2022). Modelling H-Volatility with Fractional Brownian Bridge. In: Corazza, M., Perna, C., Pizzi, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. MAF 2022. Springer, Cham. \Sexpr[results=rd]{tools:::Rd_expr_doi("doi:10.1007/978-3-030-99638-3_16")}.

See Also

Bm, FBm, FBbridge, FGn, GHBMP

Examples

Bbridge(x_end=2,t_end=1,plot=TRUE)

Rmfrac documentation built on Sept. 10, 2025, 10:31 a.m.