r.gbm: Geometric Brownian motion

In egarpor/rp.flm.test: Goodness-of-fit Test for the Functional Linear Model with Scalar Response Based on Random Projections

Description

Sampling of paths of the geometric Brownian motion.

Usage

r.gbm(n, t = seq(0, 1, len = 201), mu = 0, sigma = 1, s0 = 1)

Arguments

n	number of functions to sample.
t	time locations for the functional data.
mu, sigma	mean and diffusion of the underlying Brownian motion.
s0	a number or a vector of length n giving the initial value(s) of the geometric Brownian motion.

Value

Functional sample, an fdata object of length n.

Author(s)

Eduardo García-Portugués ([e-mail]).

Examples

plot(r.gbm(n = 10, s0 = 1))
plot(r.gbm(n = 10, mu = -1, s0 = rnorm(10, mean = 10)))

egarpor/rp.flm.test documentation built on Oct. 20, 2021, 12:31 a.m.