function plotreflection(a,b) % plots a 2 barrier reflection principle plot. input Brownian motion W W=[0 cumsum([ normrnd(.001,.02,1,1000),normrnd(-.001,.02,1,1000), normrnd(.001,.02,1,500) ])]; % length=2501 % rig things so W(751)= b at t=.3 and W(1751)=-a at t=.7 close=.2 t=0:.0004:1; u=.2; W=W-t*W(2501)+t*u; % W is now like a Brownian bridge ending at the point u. plot(t,W,'k') hold on j=(1:2501); j=min(j(W>=b)); % this is the index of the first time above b z=t(j:2501); plot(z,2*b-W(j:2501),'k--') plot(t,b*ones(1,2501)) plot(t,-a*ones(1,2501)) j=(1:2501); j=min(j(W<=-a)); % this is the index of the first time below -a z=t(j:2501); plot(z,-2*a-W(j:2501),'k-.') hold off