A note on the exact simulation of spherical Brownian motion

Aleksandar Mijatović, Veno Mramor and Gerónimo Uribe Bravo

Statistics & Probability Letters, 2020, vol. 165, issue C

Abstract: We describe an exact simulation algorithm for the increments of Brownian motion on a sphere of arbitrary dimension, based on the skew-product decomposition of the process with respect to the standard geodesic distance. The radial process is closely related to a Wright–Fisher diffusion, increments of which can be simulated exactly using the recent work of Jenkins & Spanò (2017). The rapid spinning phenomenon of the skew-product decomposition then yields the algorithm for the increments of the process on the sphere.

Keywords: Exact simulation; Skew-product decomposition; Spherical Brownian motion; Wright–Fisher diffusion (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2020.108836

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