BrownianBridgeProcess

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

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

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

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

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)
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