Simulation of diffusion bridge.

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`x` |
initial value of the process at time |

`y` |
terminal value of the process at time |

`t0` |
initial time. |

`delta` |
time step of the simulation. |

`drift` |
drift coefficient: an expression of two variables |

`sigma` |
diffusion coefficient: an expression of two variables |

`T` |
final time. |

`...` |
passed to the |

The function returns a trajectory of the diffusion bridge
starting at `x`

at time `t0`

and
ending at `y`

at time `T`

.

The function uses the `sde.sim`

function to simulate the paths internally.
Refer to the `sde.sim`

documentation for further information about the
argument “`...`

”

`X` |
an invisible |

Stefano Maria Iacus

Bladt, M., Soerensen, M. (2007) Simple simulation of diffusion bridges with application to likelihood inference for diffusions, mimeo.

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