Code to implement methods for simulating Brownian motion, Brownian bridges and layered Brownian bridge skeletons. Please see function documentation for example usage.

Simply run: devtools::install_github('rchan26/layeredBB').

Note that there are vignettes available, but by default devtools::install_github() does not build them since they are time consuming. To force building, use devtools::install_github('rchan26/layeredBB', build_vignettes = TRUE).

Here is an example to use in a cluster using parallel:

library(layeredBB)
library(parallel)

# creating parallel cluster with maximum number of cores available
n_cores <- parallel::detectCores()
cl <- parallel::makeCluster(n_cores)

# export functions from layeredBB into the cluster environment
parallel::clusterExport(cl, varlist = ls("package:layeredBB"))

##### do some stuff in cluster using layeredBB functions ######

# stop cluster
parallel::stopCluster(cl)

If any code has been modified, call:

Rcpp::compileAttributes()
pkgbuild::compile_dll()
devtools::document()
devtools::install()

To build vignettes use:

devtools::build_vignettes()

Or, you can use

devtools::build()

to create a package bundle with the vignettes included.

Then can test the package by calling: devtools::test()

• On the exact and epsilon-strong simulation of (jump) diffusions
• Some Monte Carlo methods for jump diffusions

Shield:

This work is licensed under a Creative Commons Attribution 4.0 International License.