wedge-package: Computing wedge probabilities using R and Rcpp
In rcqls/wedge: Computing wedge probabilities using R and Rcpp

Description Details Author(s) References Examples

Computes the probability for a standard Brownian motion to stay in a wedge of the plane limited by two straight lines, given by their slopes and intercepts.

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~~ An overview of how to use the package, including the most important ~~ ~~ functions ~~

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Maintainer: Remy Drouilhet <remy.drouilhet@imag.fr>

B. Ycart and R. Drouilhet (2016) Computing wedge probabilities. arXiv:1612.05764

# random wedges
a1 <- 10*runif(10^6)^2
b1 <- 10*runif(10^6)^2
a2 <- 10*runif(10^6)^2
b2 <- 10*runif(10^6)^2
# wedge probabilities, 3 term approximation
pw3 <- wedge(a1,b1,a2,b2)