A note on the exact simulation of spherical Brownian motion
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Publication:2197609
DOI10.1016/J.SPL.2020.108836zbMATH Open1450.60002arXiv1811.12107OpenAlexW2902333922MaRDI QIDQ2197609FDOQ2197609
Authors: Aleksandar Mijatović, Veno Mramor, Gerónimo Uribe Bravo 
Publication date: 1 September 2020
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Abstract: We describe an exact simulation algorithm for the increments of Brownian motion on a sphere of arbitrary dimension, based on the skew-product decomposition of the process with respect to the standard geodesic distance. The radial process is closely related to a Wright-Fisher diffusion, increments of which can be simulated exactly using the recent work of Jenkins & Span`{o} (2017) [JS17]. The rapid spinning phenomenon of the skew-product decomposition then yields the algorithm for the increments of the process on the sphere.
Full work available at URL: https://arxiv.org/abs/1811.12107
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Cited In (14)
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- Improved Simulation for the Killed Brownian Motion in a Cone
- Certain calculation regarding the Brownian motion on the sphere
- An efficient linked list for molecular simulations on a spherical surface
- Active Brownian motion with speed fluctuations in arbitrary dimensions: exact calculation of moments and dynamical crossovers
- \(\varepsilon\)-strong simulation of the Brownian path
- Riemannian Langevin algorithm for solving semidefinite programs
- Algorithm for generating a Brownian motion on a sphere
- Notes on spherical bifractional Brownian motion
- Projections of spherical Brownian motion
- Skew-product decomposition of Brownian motion on an ellipsoid
- Active Brownian particle in harmonic trap: exact computation of moments, and re-entrant transition
- An algorithm for simulating Brownian increments on a sphere
- Lagrangian stochastic model for the orientation of inertialess spheroidal particles in turbulent flows: an efficient numerical method for CFD approach
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