Hidden Geometry of Bidirectional Grid-Constrained Stochastic Processes

Figure 10

Ideal selection of for BGC. Blue: unconstrained Itô process; red: BGC Itô process. 10,000 unconstrained and 10,000 BGC Itô diffusions simulated for in . As more and more BGC Itô processes are added to the plot, the ideal hidden reflective barriers of BGCSP emerge, confirming that and , where controls the position of the barrier(s) and controls the speed at which the BGC Itô process reaches the hidden reflective barrier. In this plot, and , but these can be altered to suit one’s BGC needs.