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Exact simulation of multidimensional reflected Brownian motion - MaRDI portal

Exact simulation of multidimensional reflected Brownian motion (Q4684931)

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scientific article; zbMATH DE number 6943632
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English
Exact simulation of multidimensional reflected Brownian motion
scientific article; zbMATH DE number 6943632

    Statements

    title
    Exact simulation of multidimensional reflected Brownian motion (English)
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    author
    Karthyek R. A. Murthy
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    Jose H. Blanchet
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    publication date
    26 September 2018
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    zbMATH Keywords
    unbiased sampling
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    refine until accept/reject
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    tolerance enforced simulation
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    acceptance-rejection sampling
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    \(\varepsilon\)-strong simulation
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    iterative algorithm
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    intersection layer
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    Identifiers

    Mathematics Subject Classification ID
    65C05
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    60J60
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    60J65
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    zbMATH DE Number
    6943632
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    OpenAlex ID
    W2964116646
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    arXiv ID
    1405.6469
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    Wikidata QID
    Q130055264
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    DOI
    10.1017/JPR.2018.10
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