eadelta_intervals: Calculate interval: [S^delta_2k+1, S^delta_2k] (Algorithm 28...

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

Calculate interval: [S^delta_2k+1, S^delta_2k] (Algorithm 28 in ST329)

Description

This function calculates the interval [S^delta_2k+1, S^delta_2k] (case where min(x,y) > min or where min(x,y) == min)

Usage

eadelta_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_2k+1 and S^delta_2k

Examples

# case where min(x,y ) > min
eadelta1_intervals(k = 1, x = 0, y = 0, s = 0, t = 1, min = -2, v = 1)

# case where min(x,y) == min
K = ceiling(sqrt((1)+(abs(1-(-2))*abs(1-(-2))))/(2*abs(1-(-2))))
eadelta_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.