FBbridge: Simulation of fractional Brownian bridge

In Rmfrac: Simulation and Statistical Analysis of Multifractional Processes

Simulation of fractional Brownian bridge

Description

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

Usage

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

Arguments

H	Hurst parameter which lies between 0 and 1.
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 fractional 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 fractional 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

FBm, FGn, Bm, GHBMP, Bbridge

Examples

FBbridge(H = 0.5, x_end = 2, t_end = 1,plot = TRUE)

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