Exact simulation of multidimensional reflected Brownian motion (Q4684931)
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scientific article; zbMATH DE number 6943632
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exact simulation of multidimensional reflected Brownian motion |
scientific article; zbMATH DE number 6943632 |
Statements
Exact simulation of multidimensional reflected Brownian motion (English)
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26 September 2018
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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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