rtraj.cbm

<code>rtraj.cbm</code> returns a simulated path of a circular Brownian motion for given parameters

Performs simulation and inference of diffusion processes on circle. Stochastic correlation models based on circular diffusion models are provided. For details see Majumdar, S. and Laha, A.K. (2024) "Diffusion on the circle and a stochastic correlation model" <doi:10.48550/arXiv.2412.06343>.

Sourav Majumdar

stochcorr

Stochastic Correlation Modelling via Circular Diffusion

rtraj.cbm function

<dl><dt>n</dt>
<dd>number of steps in the simulated path</dd>
<dt>theta_0</dt>
<dd>initial point</dd>
<dt>dt</dt>
<dd>Time step</dd>
<dt>sigma</dt>
<dd>volatility parameter</dd>
<dt>burnin</dt>
<dd>number of initial samples to be rejected (Default is 1000)</dd></dl>

Arguments

Simulate circular Brownian motion — rtraj.cbm

<dl>

<dt>n</dt>
<dd>number of steps in the simulated path</dd>


<dt>theta_0</dt>
<dd>initial point</dd>


<dt>dt</dt>
<dd>Time step</dd>


<dt>sigma</dt>
<dd>volatility parameter</dd>


<dt>burnin</dt>
<dd>number of initial samples to be rejected (Default is 1000)</dd>

</dl>

rtraj.cbm: Simulate circular Brownian motion

Description

Usage

Value

Arguments

Details