BMP: Brownian Motion Property (trajectories brownian lies between the two curves (+/-)2*sqrt(C*t))
Description
trajectories Brownian lies between the two curves (+/-)2*sqrt(C*t).
Usage
BMP(N, M, T, C)
Arguments
N
size of process.
M
number of trajectories.
T
final time.
C
constant positive (if C = 1 it is standard brownian motion).
Value
plot of the flow.
Details
A flow of brownian motion lies between the two curves (+/-)2*sqrt(C*t), W(dt) - W(0) ~~> N(0,dt), N(0,dt) normal distribution.
See Also
BMscal brownian motion property (invariance by scaling), BMinf brownian motion Property (time tends towards the infinite), BMcov empirical covariance for brownian motion, BMIrt brownian motion property(invariance by reversal of time).