BrownianBridgeProcess

BrownianBridgeProcess[σ,{t1,a},{t2,b}]
represents the Brownian bridge process from value a at time t1 to value b at time t2 with volatility σ.

BrownianBridgeProcess[{t1,a},{t2,b}]
represents the standard Brownian bridge process from value a at time t1 to value b at time t2.

BrownianBridgeProcess[t1,t2]
represents the standard Brownian bridge process pinned at 0 at times t1 and t2.

BrownianBridgeProcess[]
represents the standard Brownian bridge process pinned at 0 at time 0 and at time 1.

DetailsDetails

ExamplesExamplesopen allclose all

Basic Examples  (3)Basic Examples  (3)

Simulate a Brownian bridge process pinned at 0 at both ends:

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Mean and variance functions:

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Covariance function:

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Introduced in 2012
(9.0)