Exact simulation of multidimensional reflected Brownian motion

DOI10.1017/jpr.2018.10zbMath1401.65006arXiv1405.6469OpenAlexW2964116646MaRDI QIDQ4684931

Karthyek R. A. Murthy, Jose H. Blanchet

Publication date: 26 September 2018

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

Full work available at URL: https://arxiv.org/abs/1405.6469

zbMATH Keywords

iterative algorithmacceptance-rejection samplingintersection layerunbiased sampling\(\varepsilon\)-strong simulationrefine until accept/rejecttolerance enforced simulation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Brownian motion (60J65) Diffusion processes (60J60)

Related Items (4)

Simulation of reflected Brownian motion on two dimensional wedges ⋮ A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains ⋮ \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders ⋮ Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation

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