On Exact Simulation Algorithms for Some Distributions Related to Brownian Motion and Brownian Meanders

Luc Devroye ()
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Luc Devroye: McGill University, School of Computer Science

A chapter in Recent Developments in Applied Probability and Statistics, 2010, pp 1-35 from Springer

Abstract: Abstract We survey and develop exact random variate generators for several distributions related to Brownian motion, Brownian bridge, Brownian excursion, Brownian meander, and related restricted Brownian motion processes. Various parameters such as maxima and first passage times are dealt with at length. We are particularly interested in simulating process variables in expected time uniformly bounded over all parameters.

Keywords: Brownian Motion; Brownian Bridge; Bessel Process; Rejection Method; Random Variate Generation (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-7908-2598-5_1

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DOI: 10.1007/978-3-7908-2598-5_1

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