Exact simulation of diffusions
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Publication:2496495
DOI10.1214/105051605000000485zbMath1101.60060arXivmath/0602523OpenAlexW2064401329MaRDI QIDQ2496495
Gareth O. Roberts, Alexandros Beskos
Publication date: 10 July 2006
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0602523
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Cites Work
- Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
- Retrospective Markov chain Monte Carlo methods for Dirichlet process hierarchical models
- Von Neumann's Comparison Method for Random Sampling from the Normal and Other Distributions
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