BrownianBridgeProcess

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

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:

In[1]:=
Click for copyable input
Out[1]=
In[2]:=
Click for copyable input
Out[2]=

Mean and variance functions:

In[1]:=
Click for copyable input
Out[1]=
In[2]:=
Click for copyable input
Out[2]=

Covariance function:

In[1]:=
Click for copyable input
Out[1]=
In[2]:=
Click for copyable input
Out[2]=
New in 9
New to Mathematica? Find your learning path »
Have a question? Ask support »