On exact simulation algorithms for some distributions related to Brownian motion and Brownian meanders

DOI10.1007/978-3-7908-2598-5_1zbMATH Open1204.65005OpenAlexW2125865807MaRDI QIDQ3059062FDOQ3059062

Authors Luc Devroye 

Publication date 8 December 2010

Published in Recent Developments in Applied Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-7908-2598-5_1

zbMATH Keywords

algorithmBrownian motionBrownian bridgeBrownian excursionBrownian meanderBrownian motion processesrandom variate generators

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10) Brownian motion (60J65)

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Cited in

(10)

• A note on the exact simulation of spherical Brownian motion
• \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders
• The value of the high, low and close in the estimation of Brownian motion
• Sampling Brownian house-moving
• On exact simulation algorithms for some distributions related to Jacobi theta functions
• On certain functionals of the maximum of Brownian motion and their applications
• Simulation of Brownian motion at first-passage times
• Exact simulation for the first hitting time of Brownian motion and Brownian bridge
• Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary
• Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation

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