Module net.finmath.lib
Package net.finmath.montecarlo

Class BrownianBridge

java.lang.Object
net.finmath.montecarlo.BrownianBridge
All Implemented Interfaces:
BrownianMotion, IndependentIncrements
public class BrownianBridge
extends Object
implements BrownianMotion
This class implements a Brownian bridge, i.e., samples of realizations of a Brownian motion conditional to a given start and end value.

A Brownian bridge is a conditional Brownian motion, i.e. for given random variables X and Y the Brownian bridge is
(W(t) | W(s) = X , W(T) = Y),
where W is a Brownian motion and s ≤ t ≤ T.

The samples of the Brownian bridge are generated by a Brownian motion which will be used to fill the gap between start and end. It is important that this Browninan motion is independent from the one which generated start and end, i.e. here: it should have a different seed.

The class implements the BrownianMotion, i.e., it only provides the increments of the Brownian bridge (however, in most application, like refinement of an Euler-scheme, this is exactly the desired object).

Note: The number of paths needs to be specified, because the start and the end point may be not stochastic, i.e. it is not possible to infer this quantity from the specified start and end.

Version:
1.0
Author:
Christian Fries
Date:
24.11.2013