Simulation of Brownian motion at first-passage times

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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

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Brownian Motion | MCS 2008 | Pattern Recognition | Regular Spatial Grid | Regular Time |

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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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Simulation of Brownian motion at first-passage times

Brownian Motion | MCS 2008 | Pattern Recognition | Regular Spatial Grid | Regular Time |

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