rBM: Simulate a sample path of Brownian motion

In Uffe-H-Thygesen/SDEtools: Utilities for Stochastic Differential Equations

Simulate a sample path of Brownian motion

Description

Simulate a sample path of Brownian motion

Usage

rBM(times, sigma = 1, B0 = 0, u = 0)

Arguments

times	numeric vector of time points where the Brownian motion should be simulated
sigma	numeric scalar, noise level in the Brownian motion, defaults to 1
B0	numeric scalar, initial condition (at time=0) for the Brownian motion
u	numeric scalar, drift

Value

numeric vector, of same length as times, containing the simulated value of the Brownian motion

See Also

rvBM for a vectorized version

Examples

times <- 0:10
plot(times,rBM(times),type="b",xlab="Time",ylab="Brownian motion")

Uffe-H-Thygesen/SDEtools documentation built on Jan. 15, 2025, 6:41 p.m.