Adding interior points to an existing Brownian sheet lattice

Daniell Toth

Statistics & Probability Letters, 2004, vol. 66, issue 3, 221-227

Abstract: We compute the conditional distribution of new interior points of a given a lattice representing a path of a Brownian sheet process in discrete time. This is done so that we can simulate paths of this multi-parameter Gaussian process by refining previously simulated paths, which allows one to refine a particular area of the path that is of interest.

Keywords: Brownian; sheet; Simulation; Conditional; distribution (search for similar items in EconPapers)
Date: 2004
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