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MCS
2008
Springer

Simulation of Brownian motion at first-passage times

8 years 2 months ago
Simulation of Brownian motion at first-passage times
We show how to simulate Brownian motion not on a regular time grid, but on a regular spatial grid. That is, when it first hits points in Z for some > 0. Central to our method is an algorithm for the perfect simulation of , the first time
Zaeem A. Burq, Owen D. Jones
Added 13 Dec 2010
Updated 13 Dec 2010
Type Journal
Year 2008
Where MCS
Authors Zaeem A. Burq, Owen D. Jones
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