Description Usage Arguments Value Examples
View source: R/path_generation.R
Generates a (correlated) Brownian motion path with correlated but unsynchronised Gaussian jumps.
1 2 3 4 5 6 7 8 | bm_compound_poisson(
n,
sigma,
jump_sigma,
n_jumps,
delta_time,
synchronised = FALSE
)
|
n |
Length of the path |
sigma |
Correlation matrix for the Brownian part. |
jump_sigma |
Correlation matrix for the jump part. |
n_jumps |
Number of jumps. |
delta_time |
Time step. |
synchronised |
Boolean to synchronise all jumps or not. |
A BM path with Correlated Gaussian jumps
1 2 3 4 5 6 |
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