A factorisation of diffusion measure and finite sample path constructions
type: Item
instance of: scholarly article
title: A factorisation of diffusion measure and finite sample path constructions
zbMATH Open document ID: 1152.65013
author: Alexandros Beskos
author: Omiros Papaspiliopoulos
author: Gareth O. Roberts
published in: Methodology and Computing in Applied Probability
publication date: 2008-08-20T00:00:00Z
full work available at URL: https://discovery.ucl.ac.uk/id/eprint/10049806/
review text: The authors give a novel construction of the Brownian bridge with known range for its extrema. On the basis of this, they introduce decompositions of diffusion measure and, further, construct an algorithm for the exact simulation of diffusion sample paths and of diffusion hitting times of smooth boundaries. In comparison with \textit{A.~Beskos} and \textit{G.~O.~Roberts} [Ann. Appl. Probab. 15, No.~4, 2422--2444 (2005; Zbl 1101.60060)] and with \textit{A.~Beskos}, \textit{O.~Papaspiliopoulos}, and \textit{G.~O.~Roberts} [Bernoulli 12, No.~6, 1077--1098 (2006; Zbl 1129.60073)], there are now: ``probabilistic results on the absolute maximum of Brownian paths and the maximum of Bessel process paths; a novel rejection sampling algorithm for the simulation of Brownian paths with known range'' (from the introduction).
Mathematics Subject Classification ID: 65C50
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60J65
zbMATH DE Number: 5314364
zbMATH Keywords: rejection sampling
zbMATH Keywords: exact simulation
zbMATH Keywords: conditioned Brownian motion
zbMATH Keywords: boundary hitting times
MaRDI profile type: Publication
OpenAlex ID: W2086676546
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DOI: 10.1007/S11009-007-9060-4
description: scientific article; zbMATH DE number 5314364