rbrownian: Simulation of Brownian Motions

In rpgm: Fast Simulation of Normal/Exponential Random Variables and Stochastic Differential Equations / Poisson Processes

Description

The function rbrownian is a C-level function which uses the Ziggurat in order to simulate the normal random variables.

Usage

rbrownian(n, m, b0=0, mu=0, sd=1, T=1, drop=TRUE, nthreads=1L)

Arguments

n	integer, number of paths.
m	integer, number of steps, the step size will be T/m.
b0	double, the initial value (or a vector of initial values of size n).
mu	double, the mean.
sd	double, the standard deviation.
T	double, the final date on which the brownian motion is simulated.
drop	logical, if n = 1 and drop = TRUE then the function returns the single path of the brownian motion as a vector instead of a matrix.
nthreads	integer, the number of threads to use for parallelism.

Value

Returns a n x m+1 matrix of n path of the brownian motion.

Author(s)

Nicolas Baradel - PGM Solutions

References

https://en.wikipedia.org/wiki/Brownian_motion

See Also

https://pgm-solutions.com/packages

Examples

rbrownian(5, 10)
#rbrownian(5, 10, nthreads = maxthreads())

rpgm documentation built on March 18, 2018, 2:24 p.m.