rBrownianBridge: Simulate a Brownian bridge

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

Simulate a Brownian bridge

Description

Simulate a Brownian bridge

Usage

rBrownianBridge(times, B0T = c(0, 0), sigma = 1)

Arguments

times	numeric vector of time points where the Brownian motion should be simulated
B0T	initial and terminal condition; the fixed value of the Brownian motion at the first and last time points
sigma	scalar; the noise level in the Brownian motion.

Value

a numeric vector, length(times), containing a sample path

Examples

times <- 10:20
BB <- rBrownianBridge(times,c(10,-10),2)
plot(times,BB,type="b")

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