Simulate a sample path of Brownian motion
rBM(times, sigma = 1, B0 = 0, u = 0)Arguments
- times
numeric vector of time points where the Brownian motion should be simulated
- sigma
numeric scalar, noise level in the Brownian motion, defaults to 1
- B0
numeric scalar, initial condition (at time=0) for the Brownian motion
- u
numeric scalar, drift
Value
numeric vector, of same length as times, containing the simulated value of the Brownian motion
See also
rvBM for a vectorized version
Examples
times <- 0:10
plot(times,rBM(times),type="b",xlab="Time",ylab="Brownian motion")
