pMAD_BM_c {cumulcalib}

CDF of the distribution of the maximum absolute deviation of Brownian motion in [0,1] interval, conditional on its terminal value

Description

CDF of the distribution of the maximum absolute deviation of Brownian motion in [0,1] interval, conditional on its terminal value

Usage

pMAD_BM_c(
  q,
  w1,
  method = 1,
  exp_tolerance = -30,
  summands = ceiling(q * sqrt(72) + 3/2)
)

Arguments

q

the quantity at which CDF will be evaluated. Currently accepts only a scalar

w1

the terminal value

method

different infinite series to use (1,2,3)

exp_tolerance

numerical tolerance as the stopping rule when evaluating the infinite sum (default -30 on the exponential scale)

summands

number of terms to evaluate (default is ceiling(q * sqrt(72) + 3/2))

Value

a scalar value