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.
