Simulate sample paths from standard Brownian motion (Wiener process).
Usage
r.brownian(n, t, sigma = 1, x0 = 0, seed = NULL)
Arguments
- n
Number of sample paths.
- t
Evaluation points.
- sigma
Volatility (standard deviation per unit time, default 1).
- x0
Initial value (default 0).
- seed
Optional random seed.
Value
An fdata object containing the simulated paths.
Examples
t <- seq(0, 1, length.out = 100)
bm_data <- r.brownian(n = 20, t = t)
plot(bm_data)
