0

Alright, so I am trying to simulate a value and its not working out the way I expect. I think I narrowed down my an issue to me simulating the integral of brownian bridge process. I know that 1000 iid random variables were used to approximate the Brownian motions in my simulation.

Let be a standard brownian bridge process. I want to simulate the following (its something more complicated but I think the issue is here):

This was my technique (in R)

library(e1071) # for the rbridge function 

x1 = rbridge(end = 1, frequency = 1000)
x2 = rbridge(end = 1, frequency = 1000) 

Q = sum(t(x1)%*%x2)

Help appreciated. And I doing this part correctly?

Kat
  • 15,669
  • 3
  • 18
  • 51
kpr62
  • 522
  • 1
  • 4
  • 11
  • For Q, I get one value. Is that what you expected? Semantically, I'm wrestling with one point and 'motion'. Otherwise, all good I suppose. You realize your `sum(t(x1)` construct converts x1 to a matrix, thence multiplied by a vector [x2], thence summed, hence point, and perhaps the estimate you sought. – Chris May 10 '22 at 02:59
  • Would [this](https://search.r-project.org/CRAN/refmans/STFTS/html/dataset_bb.html) help? – gd047 May 10 '22 at 05:02

0 Answers0