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mschauer/gist:517b1b3d8eb8301823864ba67bd67f4d

Last active October 22, 2022 22:16
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Precision Brownian motion
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gistfile1.txt
d = 100
ts_ = range(0, 1, length=d+1)[2:end]
Γ = SymTridiagonal([2.0ones(d-1); 1.0], -ones(d-1))/ts_[1]
# Note the covariance matrix of B.M is
ts = range(0, 1, length=d+1)[2:end]
Γ0 = inv([min(i,j) for i in ts_, j in ts_])
@test norm(Γ0 - Γ) < 1e-7
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