Struct BrownianBridge 

pub struct BrownianBridge {
    pub start: f64,
    pub end: f64,
    pub steps: usize,
}

Brownian bridge: a Brownian motion conditioned to reach a specified endpoint.

B(t) = (1 - t/T)*start + (t/T)*end + W(t) - (t/T)*W(T) which is implemented by generating a free Wiener path then pinning it.

Fields

start: f64

Starting value.

end: f64

Ending value (the bridge is conditioned to hit this).

steps: usize

Number of discrete steps.

Implementations

impl BrownianBridge

pub fn new(start: f64, end: f64, steps: usize) -> Self

pub fn path(&self, rng: &mut Rng) -> Vec<f64>

Generate the bridge path as a vector of length steps + 1.

pub fn path_2d(&self, rng: &mut Rng, start: Vec2, end: Vec2) -> Vec<Vec2>

Generate a 2D bridge path (each coordinate independently bridged).