Exact simulation of multidimensional reflected Brownian motion

DOI10.1017/JPR.2018.10MaRDI QIDQ4684931zbMATH OpenOpenAlexWikidataFDO

Authors Karthyek R. A. Murthy, Jose Blanchet

Publication date 26 September 2018

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.6469

zbMATH Keywords

\(\varepsilon\)-strong simulationacceptance-rejection samplingintersection layeriterative algorithmrefine until accept/rejecttolerance enforced simulationunbiased sampling

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Monte Carlo methods (65C05)

Abstract: We present the first exact simulation method for multidimensional reflected Brownian motion (RBM). Exact simulation in this setting is challenging because of the presence of correlated local-time-like terms in the definition of RBM. We apply recently developed so-called $varepsilon-$strong simulation techniques (also known as Tolerance-Enforced Simulation) which allow us to provide a piece-wise linear approximation to RBM with $varepsilon$ (deterministic) error in uniform norm. A novel conditional acceptance/rejection step is then used to eliminate the error. In particular, we condition on a suitably designed information structure so that a feasible proposal distribution can be applied.

Recommendations

• Simulation of reflected Brownian motion on two dimensional wedges
• Steady-state simulation of reflected Brownian motion and related stochastic networks
• Discretization error in simulation of one-dimensional reflecting Brownian motion
• Discrete approximations to reflected Brownian motion
• Strong Approximation of Reflecting Brownian Motion Using Penalty Method and its Application to Cumputer Simulation

Cites work

• \(\varepsilon\)-strong simulation of the Brownian path
• Boundary crossing probability for Brownian motion
• Exact simulation of diffusions
• Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process
• scientific article; zbMATH DE number 1631026 (Why is no real title available?)
• Introduction to algorithms
• Localization and exact simulation of Brownian motion-driven stochastic differential equations
• On the exact and -strong simulation of (jump) diffusions
• Open Queueing Networks in Heavy Traffic
• Reflected Brownian motion on an orthant
• Retrospective exact simulation of diffusion sample paths with applications
• Stability and structural properties of stochastic storage networks
• Steady-state simulation of reflected Brownian motion and related stochastic networks
• Stochastic simulation: Algorithms and analysis

Cited in

(12)

• Numerical simulation of multi dimensional reflecting geometrical Brownian motion and its application to mathematical finance
• Simulation of Brownian motion by truncated multiplicative functions
• \(\varepsilon\)-strong simulation of the Brownian path
• Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
• -strong simulation of the convex minorants of stable processes and meanders
• Exact pathwise simulation of multi-dimensional Ornstein-Uhlenbeck processes
• Simulation of reflected Brownian motion on two dimensional wedges
• Exact simulation of Bessel diffusions
• Efficient steady-state simulation of high-dimensional stochastic networks
• A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains
• Exact Simulation of Brownian Diffusions with Drift Admitting Jumps
• Two-dimensional Brownian motion with dependent components: turning angle analysis

This page was built for publication: Exact simulation of multidimensional reflected Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4684931)