Exact simulation of diffusions

DOI10.1214/105051605000000485zbMath1101.60060arXivmath/0602523OpenAlexW2064401329MaRDI QIDQ2496495

Gareth O. Roberts, Alexandros Beskos

Publication date: 10 July 2006

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0602523

zbMATH Keywords

Girsanov theorem rejection sampling boundary hitting time

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60)

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