A Factorisation of Diffusion Measure and Finite Sample Path Constructions

Alexandros Beskos (), Omiros Papaspiliopoulos () and Gareth O. Roberts ()
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Alexandros Beskos: University of Warwick
Omiros Papaspiliopoulos: Universitat Pompeu Fabra
Gareth O. Roberts: University of Warwick

Methodology and Computing in Applied Probability, 2008, vol. 10, issue 1, 85-104

Abstract: Abstract In this paper we introduce decompositions of diffusion measure which are used to construct an algorithm for the exact simulation of diffusion sample paths and of diffusion hitting times of smooth boundaries. We consider general classes of scalar time-inhomogeneous diffusions and certain classes of multivariate diffusions. The methodology presented in this paper is based on a novel construction of the Brownian bridge with known range for its extrema, which is of interest on its own right.

Keywords: Rejection sampling; Exact simulation; Conditioned Brownian motion; Boundary hitting times; 65C05 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (11)

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DOI: 10.1007/s11009-007-9060-4

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