Geometric brownian bridge fix - Githubissues

SciML / DiffEqNoiseProcess.jl

A library of noise processes for stochastic systems like stochastic differential equations (SDEs) and other systems that are present in scientific machine learning (SciML)

https://docs.sciml.ai/DiffEqNoiseProcess/stable/

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Geometric brownian bridge fix #192

Closed frankschae closed 7 months ago

frankschae commented 7 months ago

Checklist

[x] Appropriate tests were added
[x] Any code changes were done in a way that does not break public API
[x] All documentation related to code changes were updated
[x] The new code follows the contributor guidelines, in particular the SciML Style Guide and COLPRAC.

Additional context

Fixes https://github.com/SciML/DiffEqNoiseProcess.jl/issues/186. The bridge distribution for the Geometric Brownian motion is log-normal. @vwiela thanks for pointing this out and for preparing the great MWE (sorry this took so long)!