eadelta2_intervals: Calculate interval: [S^delta,2_2k+1, S^delta,2_2k] (Corollary...

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

Calculate interval: [S^delta,2_2k+1, S^delta,2_2k] (Corollary 4 in ST329)

Description

This function calculates the interval [S^delta,2_2k+1, S^delta, 2_2k] (case where min(x,y) == min)

Usage

eadelta2_intervals(k, x, y, s, t, min, v)

Arguments

k	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

vector of two values, S^delta,2_2k+1 and S^delta,2_2k

Examples

K = ceiling(sqrt((1)+(abs(1-(-2))*abs(1-(-2))))/(2*abs(1-(-2))))
eadelta2_intervals(k = K, x = -2, y = 0, s = 0, t = 0, min = -2, v = 1)

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