R functions for simulation of Brownian motion
 
1 Introduction

Type: R functions for simulation of Brownian motion
Date: 2010-6-22
Author: Shibin Zhang
Maintainer: Shibin Zhang <sbzhang@shmtu.edu.cn>
Description: This document provides R functions for simulation of Brownian motion.
Usage: To use the software, you will need to download the file BM.R into a
suitable directory on your computer. This contains the functions listed below
and various supporting functions. You should not need to look at the R code
in this file unless you want to see the details of what's going on.

2 The functions

BM(x0=0,t0=0,t1=T,N=100,mu=0,sigma=1)

The function BM gives a trajection of Brownian Motion with drift mu and volatility sigma, and starts from x0.
This trajection is from time t0 to t1, and observed equidistant with finally generated N+1 points.

 

 

BM.R

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