R/rbrownian.R

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

Defines functions rbrownian

Documented in rbrownian

rbrownian <-
function(n, m, b0=0, mu=0, sd=1, T=1, drop = TRUE, nthreads=1L)
{
	if(nthreads != 1L)
		stop("Not yet ready for multi-threads")
	return( .Call(.C_rbrownian, n=n, m=m, mu=as.double(mu), sd=as.double(sd), T=as.double(T), B0=as.double(b0), drop=as.logical(drop), nthreads=nthreads) )
}

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