We have developed the "Wiener Pack" for computing probabilities associated with these processes.

The Wiener Pack contains four routines:

1. Compute the probability of a Wiener process
2. Compute the probability of a Brownian bridge
3. Given the probability level, compute the parameter of a Wiener process
4. Given the probability level, compute the parameter of a Brownian bridge

Download the package [ZIP, 79.4 kb]

References:

C.F.Chung, 1987. Geological Survey of Canada Paper 87-12, Wiener pack: A subroutine package for computing probabilities associated with Wiener and Brownian Bridge processes

Chang-Jo F. Chung, 1988. Confidence Bands for the Distribution and Quantile Functions for Truncated and Randomly Censored Data in Quantitative Analysis of Mineral and Energy Resources, C.F. Chung et al. (eds.), D. Reidel Publishing Company, publisher