Exact simulation of diffusions (Q2496495)

A new comparatively simple algorithm based on rejection sampling is constructed, that simulates exact sample paths, in particular local extrema and hitting times, of the solution of \(dX_t=\alpha(X_t)dt+dB_t\), \(\alpha\) differentiable, \(B\) Brownian motion, \(0\leq t\leq T\), \(X_0=0\). When applicable, the algorithm returns the location of the path at a random collection of time instances. The path can be completed without further reference to the dynamics of the target process.