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.

Details

Examples

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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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Scope  (13)

Generalizations & Extensions  (1)

Properties & Relations  (9)

Possible Issues  (1)

Neat Examples  (3)

See Also

WienerProcess  OrnsteinUhlenbeckProcess  GeometricBrownianMotionProcess  NormalDistribution

Introduced in 2012
(9.0)