An integral equation for Root's barrier and the generation of Brownian increments
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Publication:2354891
Other nonlinear integral equations (45G10) Stopping times; optimal stopping problems; gambling theory (60G40) Brownian motion (60J65) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Numerical analysis or methods applied to Markov chains (65C40)
Abstract: We derive a nonlinear integral equation to calculate Root's solution of the Skorokhod embedding problem for atom-free target measures. We then use this to efficiently generate bounded time-space increments of Brownian motion and give a parabolic version of Muller's classic "Random walk over spheres" algorithm.
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Cited in
(9)- The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach
- A free boundary characterisation of the root barrier for Markov processes
- On Skorokhod embeddings and Poisson equations
- Optimal transport and Skorokhod embedding
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- Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs
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