Generate Reflected Brownian Motion Escape Times

Version 2.1.0.0 (15.8 KB) by Fatih Olmez
Simulate Reflected Brownian motion escape times through a target boundary
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Updated 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.

Cite As

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

MATLAB Release Compatibility
Created with R2015b
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
2.1.0.0

Using "reflected" instead of "regulated"
2.0.0.0

## 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

To view or report issues in this GitHub add-on, visit the GitHub Repository.
To view or report issues in this GitHub add-on, visit the GitHub Repository.