sample_wiener: Simulate a Wiener process
In bldavies/bldr: Personal R Package of Ben Davies
View source: R/sample_wiener.R
sample_wiener R Documentation
Simulate a Wiener process
Description
sample_wiener generates one realization of a Wiener process.
Usage
sample_wiener(mu = 0, sigma = 1, t_max = 1, dt = 0.001)
Arguments
mu
Drift parameter. Default is 0.
sigma
Variance parameter. Default is 1.
t_max
Time horizon. Default is 1.
dt
Time step. Default is 0.001.
Value
Data frame with columns
- t
Time
- W
Simulated value
bldavies/bldr documentation built on March 29, 2024, 10:22 a.m.
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View source: R/sample_wiener.R
| sample_wiener | R Documentation |
Simulate a Wiener process
Description
sample_wiener generates one realization of a Wiener process.
Usage
sample_wiener(mu = 0, sigma = 1, t_max = 1, dt = 0.001)
Arguments
mu |
Drift parameter. Default is 0. |
sigma |
Variance parameter. Default is 1. |
t_max |
Time horizon. Default is 1. |
dt |
Time step. Default is 0.001. |
Value
Data frame with columns
- t
Time
- W
Simulated value
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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