An integral equation for Root’s barrier and the generation of Brownian increments
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”...
| Main Authors: | , , |
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| Format: | Journal article |
| Published: |
Institute of Mathematical Statistics
2015
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