OUpath: simulate the sample path of OU-process or Brownian motion

Description Usage Arguments Value

Description

simulate the sample path of OU-process or Brownian motion

Usage

1
OUpath(x0, TT, n, theta = 0, mu, sigma = 1, pl = F)

Arguments

x0

the starting point at t=0

TT

the total time

n

the number of the grid

theta

Default as 0, which means brownian motion

sigma

The diffusion parameter of OU process

pl

Whether plot the path, default as false

Value

A vector of OU-process path or Brownian motion path


MingweiWilliamTang/BMIthreshCount documentation built on May 7, 2019, 4:57 p.m.