eadelta: Delta (Corollary 3 and 4 in ST329)

In rchan26/layeredBB: Simulates layered Brownian bridges using C++ and Rcpp

Delta (Corollary 3 and 4 in ST329)

Description

This function evaluates the delta function, S_n^delta used to simulate Bessel Layers in the infinite sums

Usage

eadelta(n, x, y, s, t, min, v)

Arguments

n	integer value
x	start value of Brownian bridge
y	end value of Brownian bridge
s	start value of Brownian bridge
t	end value of Brownian bridge
min	minimum of Brownian bridge
v	upper bound of Brownian bridge

Value

real value: S_n^delta evaluated at n

Examples

# example where min(x,y) > min (delta_1 case)
eadelta(n = 1, x = 0,  y = 0.8, s = 0, t = 1, min = -2, v = 2)
eadelta1(n = 1, x = 0, y = 0.8, s = 0, t = 1, min = -2, v = 2)
# example where min(x,y) == min
eadelta(n = 1, x = -2, y = 0.8, s = 0, t = 1, min = -2, v = 2)
eadelta2(n = 1, x = -2, y = 0.8, s = 0, t = 1, min = -2, v = 2)

rchan26/layeredBB documentation built on March 25, 2022, 3:44 a.m.