Generate brownian bridge

brownian_bridge.py

import numpy as np
import matplotlib
import matplotlib.pyplot as plt

N = 10
T = 300
random_seed = 0

np.random.seed(random_seed)

bs = []
for i in range(N):
    w = [0.0]
    dt = 1.0 / T
    for _ in range(T):
        w.append(np.random.normal(w[-1], np.sqrt(dt)))
    b = []
    for j in range(T + 1):
        b.append(w[j] - w[-1] * j / T)
    plt.plot(b)

plt.savefig("brownian_bridge.png", dpi=200)