Generate Reflected Brownian Motion Escape Times

Version 2.1.0.0 (15,8 KB) von Fatih Olmez

Simulate Reflected Brownian motion escape times through a target boundary

https://github.com/folmez/grbmet

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Aktualisiert 15. Feb 2017

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GBRMET simulates reflected Brownian Motion and generates escape times through a target boundary. The parameter M in the code represents the location of the reflecting boundary. Such a Brownian Motion is called "regulated" or "reflected". When M=inf, the model is the standard Brownian Motion. When M=finite, Browninan motion will be absorbed at -M when it attempts to go below it.
The escape times follow a power-law tail in the case of free Brownian Motion (M=inf) and a bounded, intermediate, truncated --whatever you call it-- power-law in the case of Reflected Brownian Motion (M=finite). The power law exponent in each case is 1.5 in the limit.

Zitieren als

Fatih Olmez (2024). Generate Reflected Brownian Motion Escape Times (https://github.com/folmez/grbmet), GitHub. Abgerufen 24. Juli 2024.

Kompatibilität der MATLAB-Version

Erstellt mit R2015b

Kompatibel mit allen Versionen

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grbmet

Versionen, die den GitHub-Standardzweig verwenden, können nicht heruntergeladen werden

Version	Veröffentlicht	Versionshinweise
2.1.0.0	15. Feb 2017	Using "reflected" instead of "regulated"
2.0.0.0	15. Dez 2016	## 2.0 - 2016-12-15 ### Changed - There is now only one code file to maintain: "grbmet.m". - Theoretical PDF and plot files are moved into the main code file.
1.0.0.0	15. Jul 2016		Herunterladen

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