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BrownianBridge

spawn_stochastic::bridge

Struct BrownianBridge 

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pub struct BrownianBridge {
    pub alpha: f64,
    pub beta: f64,
    pub sigma: f64,
    pub n_paths: usize,
    pub n_steps: usize,
    pub t_end: f64,
}
Expand description

Brownian Bridge process simulates paths that start and end at fixed points.

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§alpha: f64§beta: f64§sigma: f64§n_paths: usize§n_steps: usize§t_end: f64

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impl BrownianBridge

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pub fn new( alpha: f64, beta: f64, sigma: f64, n_paths: usize, n_steps: usize, t_end: f64, ) -> Self

Creates a new Brownian Bridge instance.

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pub fn simulate(&self) -> Vec<Vec<f64>>

Simulates Brownian Bridge paths using the Euler-Maruyama method with secure random number generation.

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