A note on the exact simulation of spherical Brownian motion

DOI10.1016/J.SPL.2020.108836MaRDI QIDQ2197609zbMATHOpenAlexFDO

Authors Aleksandar Mijatović, Veno Mramor, Gerónimo Uribe Bravo

Publication date 1 September 2020

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1811.12107

zbMATH Keywords

exact simulationWright-Fisher diffusionspherical Brownian motionskew-product decomposition

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Brownian motion (60J65)

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.

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Cited in

(14)

• Projections of spherical Brownian motion
• Algorithm for generating a Brownian motion on a sphere
• Lagrangian stochastic model for the orientation of inertialess spheroidal particles in turbulent flows: an efficient numerical method for CFD approach
• Improved Simulation for the Killed Brownian Motion in a Cone
• An efficient linked list for molecular simulations on a spherical surface
• Certain calculation regarding the Brownian motion on the sphere
• An algorithm for simulating Brownian increments on a sphere
• Skew-product decomposition of Brownian motion on an ellipsoid
• Notes on spherical bifractional Brownian motion
• scientific article; zbMATH DE number 7626752 (Why is no real title available?)
• Riemannian Langevin algorithm for solving semidefinite programs
• Active Brownian particle in harmonic trap: exact computation of moments, and re-entrant transition
• \(\varepsilon\)-strong simulation of the Brownian path
• Active Brownian motion with speed fluctuations in arbitrary dimensions: exact calculation of moments and dynamical crossovers

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