Simulation of diffusion bridge.
1 |
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.
sde.sim
, BBridge
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